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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …
Persistent link: https://www.econbiz.de/10010302537
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The Forecasting Performance of German Stock Option Densities
Keller, Joachim; Glatzer, Ernst; Craig, Ben R.; … - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10010295765
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Time series properties of a rating system based on financial ratios
Krüger, Ulrich; Stötzel, Martin; Trück, Stefan - 2005
This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...
Persistent link: https://www.econbiz.de/10010295907
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2008
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...
Persistent link: https://www.econbiz.de/10010298395
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Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen
Becker, Christoph; Wystup, Uwe - 2008
Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht...
Persistent link: https://www.econbiz.de/10010301717
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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - 2009
market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the … mainly driven by asset market volatilities which suggests a fight-to-liquidity effect. In contrast, the long end depends on … different investor clienteles with different liquidity needs. (iii) There is a smooth transition from short-term to long …
Persistent link: https://www.econbiz.de/10010302535
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10010324679
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Investors with too many options?
Dorn, Daniel - 2010
During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...
Persistent link: https://www.econbiz.de/10011605243