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Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management : An Application to Data from Deutsche Börse
Dionne, Georges - 2014
This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. Taking liquidity into consideration when using intraday data is important because...
Persistent link: https://www.econbiz.de/10013058314
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10010302537
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10003919401
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Credit Risk Contagion in German Auto Loans
Fenner, Arved; Vollmar, Steffen - 2022
We investigate default clusters and reveal credit risk contagion in a data set with over four million German auto loans. First, we show that default clusters cannot be attributed to loan-specific, borrower-specific, asset-specific and macroeconomic effects alone. In a second step, we model...
Persistent link: https://www.econbiz.de/10013403183
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Time Dependent Relative Risk Aversion
Giacomini, Enzo - 2017
work aims at explaining investors' behavior from a macroeconomic aspect (modeled by the investors' pricing kernel and their … relative risk aversion) using stocks and options data. Daily estimates of investors' pricing kernel and relative risk aversion … changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined …
Persistent link: https://www.econbiz.de/10012966230
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Time dependent relative risk aversion
Giacomini, Enzo (contributor); Handel, Michael (contributor) - 2006
work aims at explaining investors' behavior from a macroeconomic aspect (modeled by the investors' pricing kernel and their … relative risk aversion) using stocks and options data. Daily estimates of investors' pricing kernel and relative risk aversion … changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined …
Persistent link: https://www.econbiz.de/10003324340
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Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
Sundberg, Margaret - 2019
S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a differentiated asset-class with relevance to the long-term...
Persistent link: https://www.econbiz.de/10012865881
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Income diversification in the German banking industry
Busch, Ramona; Kick, Thomas - 2009
In the last few years it has been possible to observe decreasing interest margins for German universal banks. At the same time, institutions increasingly moved part of their business from interest to fee-earning activities. This study analyzes the determinants of non-interest income and its...
Persistent link: https://www.econbiz.de/10010298853
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Income Diversification in the German Banking Industry
Busch, Ramona - 2016
In the last few years it has been possible to observe decreasing interest margins for German universal banks. At the same time, institutions increasingly moved part of their business from interest to fee-earning activities. This study analyzes the determinants of non-interest income and its...
Persistent link: https://www.econbiz.de/10012989256
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Income diversification in the German banking industry
Busch, Ramona; Kick, Thomas - 2009
In the last few years it has been possible to observe decreasing interest margins for German universal banks. At the same time, institutions increasingly moved part of their business from interest to fee-earning activities. This study analyzes the determinants of non-interest income and its...
Persistent link: https://www.econbiz.de/10003871368