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The Role of Financial Investors in Determining the Commodity Futures Risk Premium
Isleimeyyeh, Mohammad - 2020
clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is … market on the energy market became significantly greater for the futures risk premium in the period following the 2008 crisis …. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances …
Persistent link: https://www.econbiz.de/10012851801
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Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Arismendi-Zambrano, Juan - 2020
Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...
Persistent link: https://www.econbiz.de/10012828071
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OTC premia
Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - 2018
Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter. We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called...
Persistent link: https://www.econbiz.de/10011906506
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of the derivative, but also the probability of...
Persistent link: https://www.econbiz.de/10010358352
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - 2013
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels from their no-arbitrage values implied by the index constituents' CDS spreads, and we construct a tradable...
Persistent link: https://www.econbiz.de/10010258589
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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...
Persistent link: https://www.econbiz.de/10011293916
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Credit dynamics in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...
Persistent link: https://www.econbiz.de/10011293918
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Pricing a Credit-Linked Note on a CDX Tranche
Chertok, Daniel L. - 2012
A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche
Persistent link: https://www.econbiz.de/10013098210
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An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia
Cartea, Álvaro - 2012
risk premia for electricity and natural gas futures prices …
Persistent link: https://www.econbiz.de/10013101051
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Risk Premium in Financial Futures Markets : Preference Models, Behavioral Puzzles or Fraud
Martinez-Muñoz, Rafael A. - 2013
Persistent link: https://www.econbiz.de/10013087071