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Hedging house price risk with futures contracts after the bubble burst

Schorno, Patrick J.; Swidler, Steve M.; Wittry, Michael D. - In: Finance Research Letters 11 (2014) 4, pp. 332-340

This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor...

Persistent link: https://www.econbiz.de/10011118185

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …

Persistent link: https://www.econbiz.de/10011412294

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...

Persistent link: https://www.econbiz.de/10011646407

Exchange rate risk premium : an analysis of its determinants for the Mexican Peso-USD

Benavides, Guillermo - 2016

The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several...

Persistent link: https://www.econbiz.de/10011496736

Broker-dealer risk appetite and commodity returns

Etula, Erkko M. - 2010 - Rev.

This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity markets. Commodity derivatives are the principal instrument used by producers and consumers of commodities to hedge against commodity price risk....

Persistent link: https://www.econbiz.de/10003947918

Arbitrage-free models of stocks and bonds

Durham, J. Benson - 2013

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Persistent link: https://www.econbiz.de/10010222892

Understanding Mortgage Spreads

Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...

Persistent link: https://www.econbiz.de/10010404146

The LIBOR Market Model : A Critical Review

Nawalkha, Sanjay K. - 2009

This paper presents a critical review of the different versions of the LIBOR market model (LMM). Based on the new taxonomy of the term structure models (see Nawalkha, Beliaeva, and Soto [2007a, 2007b]) the typical application of the LMM are shown to triple-plus type, exposing these to the...

Persistent link: https://www.econbiz.de/10014208293

Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …

Persistent link: https://www.econbiz.de/10014437009

Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...

Persistent link: https://www.econbiz.de/10009612031

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