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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

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/10011605102

Are Banks Different? Evidence from the CDS Market

Raunig, Burkhard; Scheicher, Martin - 2009

particular, since the start of the recent financial turmoil. We use monthly data on the Credit Default Swaps (CDS) of 41 major …

Persistent link: https://www.econbiz.de/10013370069

A value at risk analysis of credit default swaps

Scheicher, Martin; Raunig, Burkhard - 2008

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at …Kreditderivate wie Credit Default Swaps (CDS) haben in den letzten Jahren den Handel mit Kreditrisiko signifikant …

Persistent link: https://www.econbiz.de/10010295949

A value at risk analysis of cedit default swaps

Raunig, Burkhard; Scheicher, Martin - 2008

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of …

Persistent link: https://www.econbiz.de/10011605014

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10010291529

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan

Nagano, Teppei; Baba, Naohiko - 2008

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …

Persistent link: https://www.econbiz.de/10011605026

Asset pricing with uncertain betas: A long-term perspective

Gollier, Christian - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010291514

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for … 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 …

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

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...

Persistent link: https://www.econbiz.de/10010326422