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Does modeling framework matter? A comparative study of structural and reduced-form models
Gündüz, Yalin; Uhrig-Homburg, Marliese - Deutsche Bundesbank - 2011
This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...
Persistent link: https://www.econbiz.de/10009024637
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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the … mainly driven by asset market volatilities which suggests a fight-to-liquidity effect. In contrast, the long end depends on … different investor clienteles with different liquidity needs. (iii) There is a smooth transition from short-term to long …
Persistent link: https://www.econbiz.de/10008684970
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Sovereign credit spreads
Uhrig-Homburg, Marliese - In: Journal of Banking & Finance 37 (2013) 11, pp. 4217-4225
The paper develops a structural credit risk model to study sovereign credit risk and the dynamics of sovereign credit spreads. The model features endogenous default and recovery rates that both depend on the interaction between domestic output fluctuations and global macroeconomic conditions. We...
Persistent link: https://www.econbiz.de/10010703259
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Is recovery risk priced?
Schläfer, Timo; Uhrig-Homburg, Marliese - In: Journal of Banking & Finance 40 (2014) C, pp. 257-270
Recovery risk to explain corporate debt premia has not received much attention so far, most likely due to the difficulties around decomposing the expected loss. We exploit the fact that differently-ranking debt instruments of the same issuer face identical default risk but different...
Persistent link: https://www.econbiz.de/10011065572
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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - In: Journal of Banking & Finance 36 (2012) 5, pp. 1381-1391
We investigate the term structure of bond market illiquidity premia and show that the term structure varies greatly over time. Short and long end are strictly separated suggesting that different economic factors drive different parts of the term structure. We propose a stylized theoretical model...
Persistent link: https://www.econbiz.de/10010574870
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The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012
segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on … depend on inventory risk, short maturities are highly sensitive to liquidity preferences (flight-to-liquidity). Therefore …
Persistent link: https://www.econbiz.de/10010954931
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Stock Illiquidity, option prices, and option returns
Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016
We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern translates into significant excess returns of option trading...
Persistent link: https://www.econbiz.de/10011539576
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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - 2009
market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the … mainly driven by asset market volatilities which suggests a fight-to-liquidity effect. In contrast, the long end depends on … different investor clienteles with different liquidity needs. (iii) There is a smooth transition from short-term to long …
Persistent link: https://www.econbiz.de/10010302535
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Does modeling framework matter? A comparative study of structural and reduced-form models
Gündüz, Yalin; Uhrig-Homburg, Marliese - 2011
This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...
Persistent link: https://www.econbiz.de/10010304725
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Does Modeling Framework Matter?A Comparative Study of Structural and Reduced-Form Models
Gündüz, Yalın; Uhrig-Homburg, Marliese - Deutsche Bundesbank <Frankfurt, Main>; Institut für … - 2011
This study provides a rigorous empirical comparison of structural and reduced-formcredit risk frameworks. As major difference we focus on the discriminative modelingof the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable...
Persistent link: https://www.econbiz.de/10008911532