Narrow search
Showing 1 - 10 of 4,317
Cover Image
The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default …
Persistent link: https://www.econbiz.de/10010295946
Cover Image
A value at risk analysis of credit default swaps
Scheicher, Martin; Raunig, Burkhard - 2008
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...
Persistent link: https://www.econbiz.de/10010295949
Cover Image
An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer; Veith, Jochen - 2006
our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …
Persistent link: https://www.econbiz.de/10010301798
Cover Image
Pro-rata matching and one-tick futures markets
Field, Jonathan; Large, Jeremy - 2008
We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of...
Persistent link: https://www.econbiz.de/10010303720
Cover Image
A value at risk analysis of cedit default swaps
Raunig, Burkhard; Scheicher, Martin - 2008
We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively traded firms over the period from March...
Persistent link: https://www.econbiz.de/10011605014
Cover Image
Empirical pricing kernels and investor preferences
Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for …
Persistent link: https://www.econbiz.de/10010275864
Cover Image
Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción - In: Atlantic Review of Economics 1 (2012)
In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...
Persistent link: https://www.econbiz.de/10010290047
Cover Image
Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth …
Persistent link: https://www.econbiz.de/10011538004
Cover Image
When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...
Persistent link: https://www.econbiz.de/10009305103
Cover Image
Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for … ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model …
Persistent link: https://www.econbiz.de/10003633572