Narrow search
Showing 1 - 10 of 552
Cover Image
EINFLUSSFAKTOREN AUF DEN CREDIT SPREAD VONUNTERNEHMENSANLEIHEN
Gann, Philipp; LAUT, AMELIE - Universität <München> / Fakultät für Betriebswirtschaft - 2008
. Dadurch werden zum einen die Grenzen der in Theorie und Praxis weit verbreiteten barwertigenBewertungslogik von Anleihen auf …
Persistent link: https://www.econbiz.de/10009418817
Cover Image
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>
-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal ... …
Persistent link: https://www.econbiz.de/10009305113
Cover Image
Multi-Currency Quadratic Models : Theory and Evidence
Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
the movement of the term structure of either country. These independent currency risk factors account for the variation in …
Persistent link: https://www.econbiz.de/10005858853
Cover Image
Beta Regimes for the Yield Curve
Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...
Persistent link: https://www.econbiz.de/10005858872
Cover Image
Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
financial risk. We first provide a complete transform analysis of this model class,which opens a range of new potential …
Persistent link: https://www.econbiz.de/10009248844
Cover Image
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
Dudenhausen, Antje; Schlögl, Erik; Schlögl, Lutz - 1999
The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust. This is true for all models that imply...
Persistent link: https://www.econbiz.de/10005841332
Cover Image
Extended Libor Market Models with Affine and Quadratic Volatility
Zühlsdorff, Christian - 2000
The market model of interest rates specifies simple forward or Libor rates as lognormaly distributed, their stochastic dynamics has a linear volatility function. This model is extended to quadratic volatility which is the product of a quadratic polynomial and a level-independent covariance...
Persistent link: https://www.econbiz.de/10005842790
Cover Image
An Examination of the Effects of Parameter Misspecification
Dudenhausen, Antje; Schlögl, Lutz - 2002
It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of bounded variation and that a superhedge is possible if upper bounds on the volatility of the relevant processes are available, cf. El Karoui, Jeanblanc-Picque and Shreve (1998)...
Persistent link: https://www.econbiz.de/10005842793
Cover Image
International Bond Risk Premia
Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011
jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and … which movements in risk premia are driven by one local andone global factor. Yield loadings for the two factors are … estimated to be close tozero while shocks to risk premia account for a small fraction of yield variance.This suggests that the …
Persistent link: https://www.econbiz.de/10009305251
Cover Image
Valuation, Liquidity and Risk in Government Bond Markets
Favero, Carlo; Pagano, Marco; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity … increase in both liquidity and risk, with an interaction term whosemagnitude and sign depends on the size of the liquidity … risk factor is consistently priced, while liquidity differentials are priced only for a subset of countries and their …
Persistent link: https://www.econbiz.de/10005858005