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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market
An, Xudong - 2015
We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...
Persistent link: https://www.econbiz.de/10013012971
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The rate of return on real estate : long-run micro-level evidence
Chambers, David; Spaenjers, Christophe; Steiner, Eva - 2019
Real estate—housing in particular—is a less profitable investment in the long run than previously thought. We hand-collect property-level financial data for the institutional real estate portfolios of four large Oxbridge colleges over the period 1901–1983. Gross income yields initially...
Persistent link: https://www.econbiz.de/10012259620
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default …
Persistent link: https://www.econbiz.de/10010295946
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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/10010301707
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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/10010301718
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696
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Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities
Csávás, Csaba - 2008
In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...
Persistent link: https://www.econbiz.de/10010322462
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Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices
Kilic, Mehtap; Huisman, Ronald - 2010
Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...
Persistent link: https://www.econbiz.de/10010325642