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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
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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
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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
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
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Liquidity risk and yield spreads of green bonds
Wulandari, Febi; Schäfer, Dorothea; Stephan, Andreas; … - 2018
This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has...
Persistent link: https://www.econbiz.de/10011810163
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Sovereign Bond's Credit Risk Immunization in a Tax Income Volatility Environment the Case of an USD Denominated Mexican Bond
Ake, Salvador Cruz - 2014
-jump process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax …
Persistent link: https://www.econbiz.de/10013066122
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Macroeconomic Risk Revisited : Term Structure of Risk Premia and Long Run Risk in a Two-State Economy with Epstein-Zin Preferences
Golosov, Edward - 2017
Under what conditions can the term structure of risk premia be downward sloping, as reported in a number of recent empirical studies? I study fixed income and equity risk premium term structures and the long run risk in a continuous time Lucas-style economy subject to a persistent regime change...
Persistent link: https://www.econbiz.de/10012941694
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Quadratic models for portfolio credit risk with shot-noise effects
Gaspar, Raquel M. (contributor);  … - 2005
We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities...
Persistent link: https://www.econbiz.de/10003209578
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Expected Equity Returns Should Correlate with Idiosyncratic Risk
Bruno, Giovanni - 2018
law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …
Persistent link: https://www.econbiz.de/10012910108
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Option-Implied Volatility-Managed Asset Pricing Risk Factors and Resurrection of the Value Factor
Grobys, Klaus - 2019
Option-implied volatility-managed risk factor models produce higher maximum squared Sharpe ratios than the recently …-implied volatility-managed risk factors based on dynamic scaling factors that systematically overestimate the expected market risk, as … repeatedly declared, it is surprising news that multivariate spanning regressions reveal that both the option-implied volatility …
Persistent link: https://www.econbiz.de/10012862033