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Alternative Defaultable Term Structure Models

Bruti-Liberati, Nicola - 2012

The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real-world probability measure. Therefore, the...

Persistent link: https://www.econbiz.de/10013098072

Benchmarking Model of Default Probabilities of Listed Companies

Hui, Cho-Hoi; Wong, T. C.; Lo, Chi-Fai; Huang, M. X. - 2007

This paper presents a benchmarking model for validation of default probabilities of listed companies for Basel II purposes. The model is based on the recent studies on the predictive capability of structural credit risk models. Benchmark ratings and one-year default probabilities are assigned to...

Persistent link: https://www.econbiz.de/10014051021

Exchange Rate Dynamics and US Dollar-Denominated Sovereign Bond Prices in Emerging Markets

Hui, Cho-Hoi - 2017

Using data on Brazil, Colombia, Mexico, the Philippines, Russia and Turkey, our empirical results show that the exchange rates of their currencies have adequate explanatory power in explaining their US dollar-denominated sovereign bonds, particularly in the post-crisis period. We develop a...

Persistent link: https://www.econbiz.de/10012966847

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps

Chang, Yang - 2015

The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one floating interest rate for another of a di fferent tenor in the same currency) contradicts textbook no-arbitrage conditions and has become an important feature of interest rate markets since the...

Persistent link: https://www.econbiz.de/10013033643

Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets

Hui, Cho-Hoi - 2018

The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...

Persistent link: https://www.econbiz.de/10012917815

A Hybrid Commodity and Interest Rate Market Model

Pilz, Kay F. - 2009

options on commodity futures, rather than forwards, thus the difference between forward and futures prices must be explicitly … data for interest options, commodity options and historically estimated correlations between interest rates and commodity … options …

Persistent link: https://www.econbiz.de/10013153274

SOFR Term Structure Dynamics - Discontinuous Short Rates and Stochastic Volatility Forward Rates

Brace, Alan; Gellert, Karol; Schlögl, Erik - 2022

these features. Calibrating to prices for options on SOFR futures, we achieve a good fit to the market across available …

Persistent link: https://www.econbiz.de/10014236218

Calibrating a Market Model to Commodity and Interest Rate Risk

Karlsson, Patrik - 2016

volatility surfaces of commodity and interest rate options. Since liquid market prices are only available for options on … interest rates and commodity prices (cross-correlation). When calibrating to options on forwards (rather than futures), the … fitting of cross-correlation preserves the (separate) calibration in the two markets (interest rate and commodity options …

Persistent link: https://www.econbiz.de/10012993132

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Cheng, Benjamin - 2016

price process has noticeable impact on the prices of long-dated futures options, while the correlation between the interest … that is more pronounced with longer maturity options …

Persistent link: https://www.econbiz.de/10013002024

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

Alfeus, Mesias - 2018

Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency basis (i.e. a spread applied to one leg of a swap to...

Persistent link: https://www.econbiz.de/10012933934