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Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices
D'Amico, Stefania; Kim, Don H.; Wei, Min - Bank für Internationalen Zahlungsausgleich <Basel>
structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium … framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time …
Persistent link: https://www.econbiz.de/10009305113
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The pricing of correlated default risk:evidence from the credit derivatives market
Tarashev, Nikola; Zhu, Haibin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreadsof a popular credit default swap (CDS) index – we extract risk-neutral probabilities ofdefault (PDs) and physical asset return correlations from single-name CDS spreads. Thetime profile and overall level...
Persistent link: https://www.econbiz.de/10005866358
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Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures
Walder, Roger - 2002
This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.
Persistent link: https://www.econbiz.de/10005843342
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EINFLUSSFAKTOREN AUF DEN CREDIT SPREAD VONUNTERNEHMENSANLEIHEN
Gann, Philipp; LAUT, AMELIE - Universität <München> / Fakultät für Betriebswirtschaft - 2008
verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen,dass neben Kreditrisiken noch weitere Faktoren die …
Persistent link: https://www.econbiz.de/10009418817
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Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009
This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …
Persistent link: https://www.econbiz.de/10005868531
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The Term Structure of Illiquidity Premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009
determinedby different investor clienteles with different liquidity needs.[...] …
Persistent link: https://www.econbiz.de/10008911533
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Portfolio Credit Risk
Wilson, Thomas C. - McKinsey and Company <New York, NY>; London School of … - 1998
This paper describes a new and intuitive methodfor answering these technical questions by tabulating theexact loss distribution arising from correlated credit eventsfor any arbitrary portfolio of counterparty exposures, downto the individual contract level, with the losses measuredon a...
Persistent link: https://www.econbiz.de/10005870073
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The Future of Credit Portfolio Management
Leung, Som-lok - International Association for the Study of Insurance … - 2009
IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...
Persistent link: https://www.econbiz.de/10008637661
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Implied Correlations of iTraxx Tranches during the Financial Crisis
Heidorn, Thomas; Kahlert, Dennis - Frankfurt School of Finance & Management - 2010
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used in the credit derivatives market for price communication.During the financial crisis, implied correlations have been quite volatile indicating thegrowing fraction of systematic...
Persistent link: https://www.econbiz.de/10008695300
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Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors
Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three … different types of risk, was obtained. Introducing the risk of systematic changes in the market liquidity added more risks. A …
Persistent link: https://www.econbiz.de/10005858310