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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …
Persistent link: https://www.econbiz.de/10011940034
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Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
is driven primarily by idiosyncratic country risk. We analyze several local and regional channels that may explain the … trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related …
Persistent link: https://www.econbiz.de/10011541398
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Would a Stricter Fed Policy and Financial Regulation Have Averted the Financial Crisis?
Gokhale, Jagadeesh - 2009
Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...
Persistent link: https://www.econbiz.de/10013155688
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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
We show that the slight possibility of a macroeconomic disaster of moderate magnitude can explain important features across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and volatility of credit spreads, generates a flexible credit term...
Persistent link: https://www.econbiz.de/10013109094
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Derivatives Mismarking Cases
Macey-Dare, Rupert - 2012
2009 and Montserret 2009. The behavioural, institutional, risk-reward and regulatory drivers of these cases are reviewed as …
Persistent link: https://www.econbiz.de/10013097744
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2015
we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during …
Persistent link: https://www.econbiz.de/10013038170
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2015
we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during …
Persistent link: https://www.econbiz.de/10013038266
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Distorting Arrow-Debreu Securities : New Entropy Restrictions Implied by the Option Cross Section
Chabi-Yo, Fousseni - 2020
Replacing equity return (as in the equity risk premium) with returns on an arbitrary contingent claim, we obtain a new … class of economic risk premiums to impose upon candidate models. These risk premiums reflect the distance between the … physical and risk-neutral moments for asset returns, can be estimated in a model-free fashion from the option cross section …
Persistent link: https://www.econbiz.de/10012844094
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What Option Prices Tell Us About the ECB's Unconventional Monetary Policies
Olijslagers, Stan - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …
Persistent link: https://www.econbiz.de/10012906936
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What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies
Olijslagers, Stan - 2019
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not instantly move asset markets or actually increases crash risk …
Persistent link: https://www.econbiz.de/10012888949