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The equity premium and the volatility spread : the role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document …
Persistent link: https://www.econbiz.de/10003852916
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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/10003971282
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Ambiguity aversion and the term structure of interest rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - 2008
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10003961717
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The joint estimation of term structures and credit spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011301164
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The term structure of the price of variance risk
Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015
We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing … of established asset-pricing models that assume constant risk aversion across maturities. …
Persistent link: https://www.econbiz.de/10011303715
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The term structure of bond market liquidity conditional on the economic environment : an analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...
Persistent link: https://www.econbiz.de/10009667173
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Default compensator, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
firm follow a geometric Brownian motion, we show that the term structure of credit spreads is decreasing or hump … exist. This intensity is characterized through the compensator. In the geometric Brownian motion setting, the spread term …
Persistent link: https://www.econbiz.de/10009620780
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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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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
We introduce the class of linear-rational term structure models in which the state price density is modeled such that 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...
Persistent link: https://www.econbiz.de/10010338764
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
equity indexes or dividends). Average term structures reflect the dynamics of the dollar pricing kernel, of cash flow growth …
Persistent link: https://www.econbiz.de/10011457568