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pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …
Persistent link: https://www.econbiz.de/10010290440
absorbed by mortgage lenders by valuing the embedded put-option in non-recourse mortgages. Our simulations generate loss …
Persistent link: https://www.econbiz.de/10003889053
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...
Persistent link: https://www.econbiz.de/10003905569
return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … with the size of the basket. Second, since the IC is implied from option prices it is not constant over maturities and …
Persistent link: https://www.econbiz.de/10009665551
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...
Persistent link: https://www.econbiz.de/10009625799
Persistent link: https://www.econbiz.de/10011518800
Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty … ; contingent claim pricing ; model-uncertainty-induced utility function …
Persistent link: https://www.econbiz.de/10009679505
the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …
Persistent link: https://www.econbiz.de/10011410917
This study uses a comprehensive data set of VIX and CDS markets to propose pairs trading strategies that represent the dynamic relation between market risk and credit risk in an equilibrium framework with a common non stationary factor. This involves the analysis of price discovery between VIX...
Persistent link: https://www.econbiz.de/10013128397
Using a novel data set and new proxies for rollover losses and market illiquidity, this paper finds that market illiquidity affects corporate bond spreads beyond a liquidity premium through a “rollover risk channel”. This effect is economically significant during episodes of market...
Persistent link: https://www.econbiz.de/10013128430