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An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - 2002

swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo …

Persistent link: https://www.econbiz.de/10010325053

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

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Persistent link: https://www.econbiz.de/10010300362

Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten

Neuhaus, Holger - 1995

There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...

Persistent link: https://www.econbiz.de/10010478816

The information content of derivatives for monetary policy: Implied volatilities and probabilities

Neuhaus, Holger - 1995

Persistent link: https://www.econbiz.de/10010478817

Extracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3M Euribor futures option prices

Andersen, Allan Bødskov; Wagener, Tom - 2002

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

Persistent link: https://www.econbiz.de/10010321225

Pricing and Hedging Guaranteed Annuity Options via Static Option Replication

Pelsser, Antoon - 2002

In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...

Persistent link: https://www.econbiz.de/10010325024

A note on the pricing of real estate index linked swaps

Björk, Tomas; Clapham, Eric - 2002

correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …

Persistent link: https://www.econbiz.de/10010281429

An empirical analysis of factors driving the swap spread

Asgharian, Hossein; Karlsson, Sonnie - 2008

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …

Persistent link: https://www.econbiz.de/10010323750

Robust estimation and inference in panels with interactive fixed effects

Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

Persistent link: https://www.econbiz.de/10014480692