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A Markov Model for the Term Structure of Credit Risk Spreads

Jarrow, Robert A. - 1997

This paper provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995) with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable...

Persistent link: https://www.econbiz.de/10012792161

Credit Risk Models

Jarrow, Robert A. - In: Annual Review of Financial Economics 1 (2009) 1, pp. 37-68

This paper reviews the literature on credit risk models. Topics included are structural and reduced form models, incomplete information, credit derivatives, and default contagion. It is argued that reduced form models and not structural models are appropriate for the pricing and hedging of...

Persistent link: https://www.econbiz.de/10008776995

The Term Structure of Interest Rates

Jarrow, Robert A. - In: Annual Review of Financial Economics 1 (2009) 1, pp. 69-96

This paper reviews the term structure of interest rates literature relating to the arbitrage-free pricing and hedging …

Persistent link: https://www.econbiz.de/10008776999

Tax Liens : A Novel Application of Asset Pricing Theory

Jarrow, Robert A. - 2006

Although relatively obscure, the market for distressed real estate tax liens exists in over 30 U.S. states, with a market size estimated to be around 20 billion dollars. While this niche asset class is relatively unknown to academics, internet advertising hypes tax liens to the populace as...

Persistent link: https://www.econbiz.de/10012735213

Pricing the Term Structure with Linear Regressions

Adrian, Tobias - 2013

We show how to price the time series and cross-section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring...

Persistent link: https://www.econbiz.de/10012710719

Stock Returns and Volatility : Pricing the Short-Run and Long-Run Components of Market Risk

Adrian, Tobias - 2013

We decompose the time series of equity market risk into short- and long-run volatility components. Both components have negative and highly significant prices of risk in the cross section of equity returns. A three-factor model with the market return and the two volatility components compares...

Persistent link: https://www.econbiz.de/10012711670

Inference, Arbitrage, and Asset Price Volatility

Adrian, Tobias - 2010

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10012717809

Pricing the term structure with linear regressions

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - In: Journal of Financial Economics 110 (2013) 1, pp. 110-138

We show how to price the time series and cross section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring...

Persistent link: https://www.econbiz.de/10010702367

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10011186634

Option Pricing with Random Volatilities in Complete Markets

Eisenberg, Larry - 2008

This article presents the theory of option pricing with random volatilities in complete markets. As such, it makes two contributions. First, the newly developed martingale measure technique is used to synthesize results dating from Merton (1973) through Eisenberg, (1985, 1987). This synthesis...

Persistent link: https://www.econbiz.de/10012773686