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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10011604956
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The use of credit claims as collateral for Eurosystem credit operations
Tamura, Kentaro; Tabakis, Evangelos - 2013
Credit claims (or bank loans) represent a large share of the collateral accepted by the Eurosystem in its credit … operations in recent years. Hence the techniques and procedures used in the use of credit claims as collateral have become … accepted by the Eurosystem. While several types of credit claims are eligible as Eurosystem collateral, each type of credit …
Persistent link: https://www.econbiz.de/10011606300
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CDO pricing with copulae
Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, Ostap - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...
Persistent link: https://www.econbiz.de/10010274153
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10010289723
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio - 2008
Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...
Persistent link: https://www.econbiz.de/10011604905
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Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse
Gann, Philipp - 2009
Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich...
Persistent link: https://www.econbiz.de/10010427771
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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/10010263067
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of the premium is the same as the sign of the mean hedging...
Persistent link: https://www.econbiz.de/10010263305
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Illiquidity and derivative valuation
Horst, Ulrich; Naujokat, Felix - 2010
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...
Persistent link: https://www.econbiz.de/10010270818
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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171