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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
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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
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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
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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
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Investors with too many options?
Dorn, Daniel - 2010
the average spread. …
Persistent link: https://www.econbiz.de/10009640343
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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
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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
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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
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Joint Evaluation of Budget Support to Ghana (2005 - 2015 ) : Final Report ; Volume 1
Ladj, Georg (contributor); Smail, Tino (contributor);  … - PARTICIP GmbH Consultants für Entwicklung und Umwelt - 2017
The objective of this evaluation is to assess the extent to which budget support has contributed to achieving its expected results by helping the Government of Ghana (GoG) to strengthen the implementation of its national and sectoral strategies. The study covers all operations with disbursements...
Persistent link: https://www.econbiz.de/10011998841
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Technical assistance to a study on the current actions and initiatives in the field of civil protection in the Caribbean in order to promote, enhance and reinforce the regional coo...
de Ville de Goyet, Claude; Crema. Giovanni; Lecaros … - Soges S.p.A. - 2010
The global objective of this study is to assess the actions and initiatives in the field of civil protection in the Caribbean, in order to promote, enhance and reinforce regional cooperation between European Overseas Countries and Territories (OCTs), Outermost Regions (ORs) and the countries...
Persistent link: https://www.econbiz.de/10011998848