Similar Search Results

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...

Persistent link: https://www.econbiz.de/10011810905

A simple method for extracting the probability of default from American put option prices

Chang, Bo Young; Orosi, Greg - 2020 - Last updated: April 20, 2020

In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...

Persistent link: https://www.econbiz.de/10012216226

The time dimension of the links between loss given default and the macroeconomy

Koneèný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017

Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over...

Persistent link: https://www.econbiz.de/10011636239

Identifying speculative demand shocks in commodity futures markets through changes in volatility

Hachula, Michael; Rieth, Malte - 2017

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...

Persistent link: https://www.econbiz.de/10011619592

Trader positions and marketwide liquidity demand

Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …

Persistent link: https://www.econbiz.de/10011803199

Illiquidity transmission from spot to futures markets

Korn, Olaf; Krischak, Paolo; Theissen, Erik - 2017 - [vers. 08/2017]

but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and …

Persistent link: https://www.econbiz.de/10011713434

The Puzzle of Index Option Returns

Constantinides, George M.; Jackwerth, Jens Carsten; … - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2012

-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross sectional …

Persistent link: https://www.econbiz.de/10010883488

Mispricing Persistence and the Effectiveness of Arbitrage Trading

Alphonse, Pascal - In: Multinational Finance Journal 11 (2007) 1-2, pp. 123-156

consistent with mean reversion in liquidity and partial adjustment in the cash market. The behavior of arbitrageurs appears … suggested that some mispricing persistence may be related to time-varying liquidity. Accordingly, the results indicate that …

Persistent link: https://www.econbiz.de/10010937122

The Number of State Variables for CDS Pricing

Guo, Biao; Han, Qian; Ryu, Doojin - 2013

variation in the data, resulting in a 20.04 bps root mean square error (RMSE). The second component corresponds to a liquidity … sheds light on CDS pricing and provides support for the most recent findings that liquidity risk is priced in CDS spreads. …

Persistent link: https://www.econbiz.de/10011003231

The value of tradeability

Chesney, Marc; Kempf, Alexander - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

Persistent link: https://www.econbiz.de/10010957228