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Pricing of cap-interest rates based on renewal processes

Beran, Jan; Ocker, Dirk - 2002

Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by...

Persistent link: https://www.econbiz.de/10010324057

Convertible Bonds: Risks and Optimal Strategies

Huang, Haishi - 2010

Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing...

Persistent link: https://www.econbiz.de/10010270423

Determinants of bank interest margins: Impact of maturity transformation

Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...

Persistent link: https://www.econbiz.de/10010309803

Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure

Memmel, Christoph - 2010

We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

Persistent link: https://www.econbiz.de/10010302118

Inflation Risk Analysis of European Real Estate Securities

Maurer, Raimond; Sebastian, Steffen - 2002

The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on short- and long-term asset returns, different regression...

Persistent link: https://www.econbiz.de/10010316279

European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads

Jobst, Andreas A. - 2003

deriving more accurate estimators of time-varying forecast confidence intervals. On the basis of CDO, MBS and Pfandbrief …

Persistent link: https://www.econbiz.de/10010316228

A multiple factor model for European stocks

Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000

We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European …

Persistent link: https://www.econbiz.de/10010316262

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10010316265

Estimating the Expected Cost of Equity Capital Using Consensus Forecasts

Gebhardt, Günther; Daske, Holger; Klein, Stefan - 2004

/Taylor/Shroff/Sougiannis (2002), our approach allows daily estimation, using only publicly available information at that date. We then estimate the …

Persistent link: https://www.econbiz.de/10010316291

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity

Meitz, Mika; Saikkonen, Pentti - 2012

/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally … economic and financial applications. Unlike in previous literature on maximum likelihood estimation of noncausal and …

Persistent link: https://www.econbiz.de/10010500222