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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

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

Consumption Volatility Risk and the Inversion of the Yield Curve

Grasso, Adriana - 2018

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

Persistent link: https://www.econbiz.de/10012921898

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

Home Bias in Bank Sovereign Bond Purchases and the Bank-Sovereign Nexus

Andreeva, Desislava Č. - 2017

We study whether a pre-existing link between bank and sovereign credit risk biased euro area banks' sovereign debt portfolio choices during 2011Q4 and 2012Q1 - a period of exceptional increases in their domestic sovereign bond holdings. We find that banks whose creditworthiness is linked to that...

Persistent link: https://www.econbiz.de/10012963945

The Impact of Derivatives Collateralisation on Liquidity Risk : Evidence from the Investment Fund Sector

Jukonis, Audrius; Letizia, Elisa; Rousová, Linda - 2022

Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds which use derivatives extensively have been reducing their liquid asset holdings. Using transaction-by-transaction derivatives data, we assess whether the current levels of...

Persistent link: https://www.econbiz.de/10014237692

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

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

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

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 Risk in European Credit and Corporate Bond Markets

Berndt, Antje; Obreja, Iulian - 2021

This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...

Persistent link: https://www.econbiz.de/10013316873

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

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