Similar Search Results

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that … tightening, option-implied yield distributions are positively skewed, indicating that market participants attach higher …

Persistent link: https://www.econbiz.de/10009636538

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about … future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

Persistent link: https://www.econbiz.de/10009639420

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - 2003

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to …

Persistent link: https://www.econbiz.de/10009639855

Testing the asset pricing model of exchange rates with survey data

Naszodi, Anna - 2010

This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...

Persistent link: https://www.econbiz.de/10009640340

Investors with too many options?

Dorn, Daniel - 2010

the average spread. …

Persistent link: https://www.econbiz.de/10009640343

The term structure of risk premia

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10009640393

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to …

Persistent link: https://www.econbiz.de/10009640514

Systemic risk-taking

Korinek, Anton - 2011

This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse shocks. It shows that decentralized agents who have unconstrained access to a complete set of Arrow...

Persistent link: https://www.econbiz.de/10009640834

Evaluation matters : The evaluation policy for European Union Development Co-operation

Europäische Kommission; Europäischer Auswärtiger Dienst - 2014

Evaluation matters. In an increasingly complex and challenging environment for international development, the importance of demonstrating our results and learning from experience has gained significant value. Evaluation is a key learning tool for the European Union to understand not only what...

Persistent link: https://www.econbiz.de/10011799527

Technical Assistance for study on concrete results obtained through projects on Migration and Development financed under AENEAS and the Thematic Programme for Migration and Asylum : Final report

Picard, Elisabeth (contributor); … - SACO; Safege; COWI Consulting Engineers and Planners A/S - 2014

Following the Request for Services N. 2013/332-205, launched by the European Commission (EC), the Consortium led by SACO (Safege-Cowi) was awarded the contract related to the "Study on the concrete results obtained through projects on Migration and Development" financed under AENEAS and the...

Persistent link: https://www.econbiz.de/10011799529