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Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for … volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the …

Persistent link: https://www.econbiz.de/10013316627

The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices

Fender, Ingo - 2013

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/10013095930

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

Persistent link: https://www.econbiz.de/10011605102

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 …

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

Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area

Garcia, Juan Angel - 2016

credit default swap (CDS) premia, even in periods of significant market turbulence …

Persistent link: https://www.econbiz.de/10012984568

Inflation Risks and Inflation Risk Premia

Garcia, Juan Angel; Werner, Thomas - 2021

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation compensation, inflation expectations and inflation risk...

Persistent link: https://www.econbiz.de/10013316233

The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics

Lemke, Wolfgang; Werner, Thomas - 2021

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10013316384

Below the Zero Lower Bound : A Shadow-Rate Term Structure Model for the Euro Area

Lemke, Wolfgang - 2017

and the decline in yield volatility during the low-rate period better than a benchmark affine model. We estimate that …

Persistent link: https://www.econbiz.de/10012963943

The Term Structure of Risk Premia : New Evidence from the Financial Crisis

Berg, Tobias - 2010

calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward …

Persistent link: https://www.econbiz.de/10013146561

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644