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Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009
Bacchetta, Philippe; Merrouche, Ouarda - 2015
disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …
Persistent link: https://www.econbiz.de/10011507853
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An intergenerational cross-country swap
Padovani, Miret; Vanini, Paolo - 2009
economic development and with different long-term challenges. This 30-year-long swap is structured in such a way to capture the … today to pay for educational, technological, and other infrastructural services. To price the swap, we apply an exponential …
Persistent link: https://www.econbiz.de/10003970417
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226
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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe (contributor);  … - 2007
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10003549840
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018
significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …
Persistent link: https://www.econbiz.de/10011899885
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Time-changed Lévy LIBOR market model for the joint estimation and pricing of caps and swaptions
Leippold, Markus; Stromberg, Jacob - 2012 - This version: May 18, 2012
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
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Affine variance swap curve models
Filipović, Damir - 2012
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …
Persistent link: https://www.econbiz.de/10009558387
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The performance of the eurosystem's fixed rate tenders since 2004 : theory and evidence
Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2010
The fixed rate tender is one of the main operational formats used by central banks in the implementation of their monetary policies. While academic research has largely dismissed the procedure for its tendency to encourage overbidding, central banks such as the ECB and the Bank of England have...
Persistent link: https://www.econbiz.de/10008797780
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Foreign Exchange Swaps and Cross-Currency Swaps
Ranaldo, Angelo - 2022
In the first part of this chapter, we explain the main characteristics of foreign exchange (FX) swap and cross …-currency swap contracts. We emphasize the importance of the valuation adjustment (XVA) approach and then map the FX swap market in … terms of currencies, parties, maturities, and size. The second part is devoted to the institutional framework of the FX swap …
Persistent link: https://www.econbiz.de/10013405554