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protect the position against yield changes. Portfolio managers are mainly seeking for duration that fits into the portfolio … losses and to log in the desired key duration. The working paper examines several key points for diverse market actors and …
Persistent link: https://www.econbiz.de/10010957473
interpolation ; zero curve ; credit curve ; steepener ; flattener ; barbell ; credit basis ; bullet ; asset swap spread ; Z …-Spread ; duration ; BPV ; basis point value ; credit risk ; convexity ; credit trading ; carry … protect the position against yield changes. Portfolio managers are mainly seeking for duration that fits into the portfolio …
Persistent link: https://www.econbiz.de/10009622377
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10010305888
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10009228816
This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures options to assess market perceptions regarding future monetary policy moves options allow the information content implied in simpler derivatives to be extended by providing...
Persistent link: https://www.econbiz.de/10005111560
Empirical studies on credit spread determinants are predicated on the presence of a single-regime over the entire sample period and thus find limited explanatory power. We show that a single regime model hides the fact that the explanatory variables take on different loadings across changing...
Persistent link: https://www.econbiz.de/10012710798
Using a real-time random regime shift technique, we identify and discuss two different regimes in the dynamics of credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in credit spreads. The liquidity regime seems to explain...
Persistent link: https://www.econbiz.de/10013077480
In this paper, we provide adjustments for liquidity and credit risk to the forward Libor rate in order to improve accuracy of the forward rate in forecasting the 3-month Libor rate. In particular, we introduce the adjusted forward curve (AFC) that models the update in the forward curve from one...
Persistent link: https://www.econbiz.de/10012849043
Can the credit spreads of one and the same issuer differ in two different currencies? If so, can an investor exploit this situation? To answer these questions and to add to the existing literature, we extend the Jarrow/Turnbull model with a second currency and test these theoretical results with...
Persistent link: https://www.econbiz.de/10013125498
This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By calibrating an arbitrage-free reduced form model to the cash- and derivatives markets of each member state, we disentangle credit and market liquidity spread components in government...
Persistent link: https://www.econbiz.de/10012969408