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Asset Pricing Implications of Volatility Term Structure Risk

Xie, Chen - 2014

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

Persistent link: https://www.econbiz.de/10013044719

Diversification with Idiosyncratic Credit Spreads : A Pooled Estimation on Heterogeneous Panels

LIn, William T.; Sun, David S. - 2010

Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate the risk diversification issue of individual corporate bonds in portfolios. This is one of the few studies on the decomposition of individual corporate yield spreads....

Persistent link: https://www.econbiz.de/10014198732

On the valuation and analysis of risky debt : a practical approach using rating migrations

Fischer, Edwin O.; Kampl, Lisa-Maria; Wöckl, Ines - In: Credit and capital markets : Kredit und Kapital 56 (2023) 3/4, pp. 287-312

theory and practice. Our approach is well-suited for practical applications since the parameters required are easily …

Persistent link: https://www.econbiz.de/10015188164

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Gauthier, Geneviève - 2012

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capital structure intact. This produces random recovery rates negatively correlated with the default probability. The approach is implemented on a...

Persistent link: https://www.econbiz.de/10013101883

Saddlepoint Approximations for Credit Portfolios With Stochastic Recoveries

Herbertsson, Alexander - 2022

We study saddlepoint approximations to the tail-distribution for different credit portfolio losses in continuous time intensity based models which stochastic recoveries, under conditional independent homogeneous settings. In such models, conditional on the filtration generated by the individual...

Persistent link: https://www.econbiz.de/10013403628

Corporate Policies and the Term Structure of Risk

Breugem, Matthijs - 2020

We introduce heterogeneity in the pricing of aggregate risks of various persistence into a dynamic corporate finance model with financing frictions. We show that if long-term (persistent) shocks have a higher market price than short-term (temporary) shocks, firms shorten the horizon of corporate...

Persistent link: https://www.econbiz.de/10012833975

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Persistent link: https://www.econbiz.de/10011410917

Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model

Li, Gang - 2020

When the true asset pricing model cannot be identified, the idiosyncratic volatility obtained from a misspecified model … centuries, neither equal-weighted idiosyncratic volatility (EWIV) nor value-weighted idiosyncratic volatility (VWIV) can …, Cakici, Yan, and Zhang (2005) and reconcile their mixed findings between the idiosyncratic volatility and future stock market …

Persistent link: https://www.econbiz.de/10012847166

Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?

Santos, André Oliveira - 2019

This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...

Persistent link: https://www.econbiz.de/10012868458