Similar Search Results

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10010500191

Implied volatility of foreign exchange options: Is it worth tracking?

Gereben, Áron; Pintér, Klára - 2005

linked to the simplifying assumptions of the Black-Scholes option pricing model. Our empirical results show that forint …

Persistent link: https://www.econbiz.de/10010322417

Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008

Bask, Mikael; Widerberg, Anna - 2010

The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...

Persistent link: https://www.econbiz.de/10010321428

An empirical analysis of factors driving the swap spread

Asgharian, Hossein; Karlsson, Sonnie - 2008

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …

Persistent link: https://www.econbiz.de/10010323750

Volatility investing with variance swaps

Härdle, Wolfgang Karl; Silyakova, Elena - 2010

Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we...

Persistent link: https://www.econbiz.de/10010319195

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10010295926

Income Volatility and Residential Mortgage Delinquency : Evidence from 12 EU Countries

Diaz-Serrano, Luis - 2004

We investigate the socio-economic determinants of mortgage delinquency in 12 EU countries and observe that income volatility significantly increases the mortgage delinquency risk. This pattern even holds for borrowers with higher-income profiles if volatility in income is high enough. From this...

Persistent link: https://www.econbiz.de/10010262138

Convertible Bonds: Default Risk and Uncertain Volatility

Huang, Haishi - 2010

Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.

Persistent link: https://www.econbiz.de/10010270426

Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...

Persistent link: https://www.econbiz.de/10010270543

CDO and HAC

Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, Ostap - 2009

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...

Persistent link: https://www.econbiz.de/10010274189