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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

A value at risk analysis of cedit default swaps

Raunig, Burkhard; Scheicher, Martin - 2008

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively traded firms over the period from March...

Persistent link: https://www.econbiz.de/10011605014

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

A quantitative mirror on the Euribor market using implied probability density functions

de Vincent-Humphreys, Rupert; Puigvert Gutiérrez, … - 2010

the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to …

Persistent link: https://www.econbiz.de/10011605327

The use of credit claims as collateral for Eurosystem credit operations

Tamura, Kentaro; Tabakis, Evangelos - 2013

Credit claims (or bank loans) represent a large share of the collateral accepted by the Eurosystem in its credit operations in recent years. Hence the techniques and procedures used in the use of credit claims as collateral have become significant elements of the monetary policy implementation...

Persistent link: https://www.econbiz.de/10011606300

The valuation of N-phased investment projects under jump-diffusion processes

Andergassen, Rainer; Sereno, Luigi - 2010

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second...

Persistent link: https://www.econbiz.de/10011651591

The informational role of thin options markets: Empirical evidence from the Spanish case

García Martín, C. José; Herrero Piqueras, Begoña; … - In: Estudios de Economía 43 (2016) 2, pp. 233-263

This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options...

Persistent link: https://www.econbiz.de/10011985517

Does behavioural theory explain return-implied volatility relationship? Evidence from India

Chakrabarti, Prasenjit; Kumar, K. Kiran - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-16

The study investigates whether behavioural theory is a superior explanation for short-term return-volatility relationship than traditional leverage and volatility feedback hypotheses. Using VAR and quantile regression frameworks, the study shows that behavioural theory explains the relationship...

Persistent link: https://www.econbiz.de/10011988778

Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-25

(1994). We construct a jump process using a subordinated Brownian motion where the subordinator is an inverse » -stable … weight term in form of an integral with respect to subordinated Brownian motion. Using MonteCarlo techniques, we estimate … financial Greeks for a digital option and show that the BEL formula still performs better for a discontinuous pay-off in a jump …

Persistent link: https://www.econbiz.de/10011988796

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: e-Finanse: Financial Internet Quarterly 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10012011864