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The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...
Persistent link: https://www.econbiz.de/10003866554
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What do asset prices have to say about risk appetite and uncertainty?
Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009
Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover …
Persistent link: https://www.econbiz.de/10003832589
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A value at risk analysis of credit 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 2003 to...
Persistent link: https://www.econbiz.de/10003825863