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Correlation and coordination risk
Geiger, Martin; Hule, Richard - 2016
through correlation are modest. Hence, assuming that investors behave as modeled in the global game, we conclude that …
Persistent link: https://www.econbiz.de/10011495734
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Capturing information contagion in a stress-testing framework
Anand, Kartik; Gauthier, Céline; Gai, Prasanna; … - 2016
We develop an operational model of information contagion and show how it may be integrated into a mainstream, top-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the beliefs of secondary market investors and the...
Persistent link: https://www.econbiz.de/10011520642
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Illiquidity and derivative valuation
Horst, Ulrich; Naujokat, Felix - 2010
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...
Persistent link: https://www.econbiz.de/10003952859
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Illiquidity and derivative valuation
Horst, Ulrich; Naujokat, Felix - 2010
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...
Persistent link: https://www.econbiz.de/10010270818
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Signalling effects of a large player in a global game of creditor coordination
Schüle, Tobias (contributor); Stadler, Manfred (contributor) - 2005
In case of multiple creditors a coordination problem can arise when the borrowingfirm runs into financial distress. Even if the project's value at maturity is enoughto pay all creditors in full, some creditors may be tempted to foreclose on theirloans. We develop a model of creditor coordination...
Persistent link: https://www.econbiz.de/10003636427
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Correlations in Asynchronous Markets
Bergomi, Lorenzo - 2010
the carry P&L vanish we derive the expression of the correlation estimator for the asynchronous case. We study its … historical behaviour for the case of the Stoxx50, S&P500, and Nikkei indices, then consider the special case of correlation swaps … and compare our correlation to popular heuristic estimators. Finally we characterize practical situations whereby …
Persistent link: https://www.econbiz.de/10013141325
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Correlation and coordination risk
Geiger, Martin; Hule, Richard - In: Annals of finance 15 (2019) 2, pp. 155-177
Persistent link: https://www.econbiz.de/10012058200
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On Correlated Defaults and Incomplete Information
Ching, Wai-Ki - 2019
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and...
Persistent link: https://www.econbiz.de/10012862529
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Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns
Schürhoff, Norman; Ziegler, Alexandre - National Centre of Competence in Research - Financial … - 2011
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009486815
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Strategic option pricing
Bieta, Volker; Broll, Udo; Siebe, Wilfried - 2020
In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person...
Persistent link: https://www.econbiz.de/10012264975