In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default … swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from … correlation risk premium. This premium, which covaries negatively with current realized correlations and positively with future …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a … years we illustrate the importance of model risk and data overfitting effects when drawing conclusions upon results of …

from the theoretical literature to develop credit risk models that would include this possibility. A possible justification … the impact on credit risk term structures of the macroeconomic risks. In the proposed model the state of the economy is …

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 … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

-based measures of credit risk, liquidity risk and interest rate risk. In this context, I analyse how the set of explanatory factors … repriced CDX contracts to a larger extent than iTraxx contracts. Credit risk and liquidity factors are priced in almost all … tranches with liquidity risk playing a larger role since the start of the turmoil. …

components of the credit spread by analysing different risk factors of corporate bonds such as credit risk, market risk and … residual spread risk. To specify the proper credit spread level, various mesurement methods like the yield to maturity, zero …