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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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Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of …
Persistent link: https://www.econbiz.de/10010292171
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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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Is the corporate bond market forward looking?
Hilscher, Jens - 2007
. Consistent with this finding, single stock option implied volatility helps explain the variation in bond yield spreads when …
Persistent link: https://www.econbiz.de/10011604846
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …
Persistent link: https://www.econbiz.de/10011604956
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The term structure of risk premia: new evidence from the financial crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10011605211
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Price discovery in Canadian and US 10-year government bond markets
Campbell, Bryan; Hendry, Scott - 2007
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...
Persistent link: https://www.econbiz.de/10010280019
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The valuation of corporate liabilities: Theory and tests
Ericsson, Jan; Reneby, Joel - 2001
We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an …
Persistent link: https://www.econbiz.de/10010281391
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably, central banks focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. The difficulty lies in finding reliable measures of aggregate...
Persistent link: https://www.econbiz.de/10010289723