In this work we introduce the notion of implied Core Equity Tier 1 volatility and the concept of a risk …-adjusted distance to trigger. Using a derivatives-based valuation approach, we are able to derive the implied CET1 volatility from the … market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …

volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying … volatility can be modified and adapted in the proposed framework. The framework is implemented empirically for four major … (MEM) of implied volatility and the GARCH(1,1). The results indicate that the proposed framework is capable of producing …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

volatility - clearly dominates the other candidates. The pricing kernel is always strictly positive and everywhere monotonically …

The maturity effect states that the volatility of futures prices should increase as the contract approaches expiration … by analyzing the term structure of the volatility of the most worldwide traded contracts, taking into consideration their … specific characteristics. We provide empirical evidence on the positive relation between volatility and time to maturity and …

bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct … advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …