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...

This paper models the main stock index of the Vienna Stock Exchange with daily data from 1986 to 1992. We find that returns are nonnormal and show linear and nonliner dependence. On that basis we compare the fit of alternative specifications of Generalized Autoregressive Conditional...

This paper compares two specifications of the Capital Asset Pricing Model for a sample of German stocks. The specifications generate time-varying first and second moments by conditioning on past information. This explicit modelling of the time series behaviour of risk allows us to characterize...

In this article a study of the option‐implied probability density function (PDF) of German stock returns is presented. The use of option prices allows for the quantification of the risk‐neutral probability of large movements in the DAX index. Using daily data for the period from December...

This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. We study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial...

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...