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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums …
Persistent link: https://www.econbiz.de/10010410031
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Volatility Investing with Variance Swaps
Härdle, Wolfgang K. - 2017
Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we...
Persistent link: https://www.econbiz.de/10012966298
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Statistical Modeling of Credit Default Swap Portfolios
Cont, Rama - 2011
We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...
Persistent link: https://www.econbiz.de/10013129079
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Hedging with Portfolio of Bonds and Swaps Under the G2 Model
JAFFAL, hanan - 2016
analytic expressions for the price sensitivities of zero-coupon bonds, coupon-bearing bonds and interest rate swap contracts …
Persistent link: https://www.econbiz.de/10012989150
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Mean Swap Variance, Portfolio Thoery and Asset Pricing
Chow, Victor - 2018
Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is … unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap … the classical MV portfolio theory and the CAPM, is consistent with expected utility maximization for all risk …
Persistent link: https://www.econbiz.de/10012934044
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Investment and Asset Securitization With an Option-for-Guarantee Swap
Yang, Zhaojun - 2019
This paper addresses the investment and financing decisions of entrepreneurs entering into option-for-guarantee swaps (OGSs). OGSs significantly increase investment option value. Entrepreneurs initially accelerate their investments and then postpone them as funding gaps grow. Guarantee costs...
Persistent link: https://www.econbiz.de/10012902461
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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How to Stress Test Benchmark Relative Portfolios
Satchkov, Daniel - 2015
As stress testing becomes more and more widespread as a risk measurement tool of choice, new questions are formulated about its applications to portfolio management. One of the most important ones for fund managers is: ‘How do we analyze results of stress tests for benchmarked portfolios?' We...
Persistent link: https://www.econbiz.de/10013027811
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Unlimited Liabilities, Reserve Capital Requirements and the Taxpayer Put Option
Eberlein, Ernst; Madan, Dilip B. - 2010
When firms access unbounded liability exposures and are granted limited liability, then an all equity firm holds a call option, whereby it receives a free option to put losses back to the taxpayers. We call this option the taxpayer put, where the strike is the negative of the level of reserve...
Persistent link: https://www.econbiz.de/10014198745
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Predictability Puzzles
Eraker, Bjorn - 2020
Dynamic equilibrium models based on present value computation imply that returns are predictable but also generate particular patterns of predictability in asset returns. I take advantage of this to construct a set of tests of Equilibrium Generated Predictability (EGP). I apply the tests to...
Persistent link: https://www.econbiz.de/10012831389