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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146
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How do banks and households manage interest rate risk? : evidence from the Swiss mortgage market
Basten, Christoph; Guin, Benjamin; Koch, Cathérine - 2017
We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...
Persistent link: https://www.econbiz.de/10011721608
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EINFLUSSFAKTOREN AUF DEN CREDIT SPREAD VONUNTERNEHMENSANLEIHEN
Gann, Philipp; LAUT, AMELIE - Universität <München> / Fakultät für Betriebswirtschaft - 2008
Entgegen früherer Studien, die darauf hinweisen, dass der gesamte Credit Spread eines Bonds durchdas mit diesem Bond verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen,dass neben Kreditrisiken noch weitere Faktoren die Höhe des Credit Spreads determinieren.Die...
Persistent link: https://www.econbiz.de/10009418817
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Government Debt Maturity and Term Structure of Credit Spreads
Gao, Xiang - 2020
We investigate how government borrowing behaviors influence the private sector by exploring the relationship between government debt maturity and the term structure of credit spreads. Using the data of individual corporate bonds between 1972 and 2015, we find that a longer government debt...
Persistent link: https://www.econbiz.de/10012834762
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Credit Bubbles in Arbitrage Markets : The Geometric Arbitrage Approach to Credit Risk
Farinelli, Simone - 2019
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the...
Persistent link: https://www.econbiz.de/10012904838
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Mortgage Risk and the Yield Curve
Malkhozov, Aytek - 2016
rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term … structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts … nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory …
Persistent link: https://www.econbiz.de/10013007607
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Option-Based Pricing of Wrong Way Risk for CVA
Kenyon, Chris - 2016
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free worst-case approach based on static hedging of counterparty exposure with liquid options. We say "start from" because...
Persistent link: https://www.econbiz.de/10012986205
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Unsecured Credit Supply Risk and Bond Prices
Mabille, Pierre - 2021
Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...
Persistent link: https://www.econbiz.de/10013239541
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Yield Curve Investing : Optimizing Risk-Adjusted Returns
Corcoran, Charles - 2013
adjusted for duration, a measure of interest rate risk. Prior to the 2007-2008 rate decrease, one-year Treasuries offered the …
Persistent link: https://www.econbiz.de/10013090162
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The demand for long-term mortgage contracts and the role of collateral
Liu, Lu - 2023
Long-term fixed-rate mortgage contracts protect households against interest rate risk, yet most countries have relatively short interest rate fixation lengths. Using administrative data from the UK, the paper finds that the choice of fixation length tracks the life-cycle decline of credit risk...
Persistent link: https://www.econbiz.de/10014309040