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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

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

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 … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

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; Scheicher, Martin - 2009

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

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Persistent link: https://www.econbiz.de/10011604905

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert - 2014

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

Persistent link: https://www.econbiz.de/10013054678

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

Persistent link: https://www.econbiz.de/10012868588

Contagion from Market Price Impact : A Price-at-Risk Perspective

Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced by the market price impact of asset deleveraging. We introduce a novel method to assess the market price impact on a security-by-security basis from historical daily traded...

Persistent link: https://www.econbiz.de/10013403723

Estimating the full effect of a partially anticipated event: A market-based approach applied to the case of TLTROIII

Mosk, Benjamin; Vassallo, Danilo - 2024

This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...

Persistent link: https://www.econbiz.de/10015199444

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10011604956