Time Series Estimation Of The Bond Default Risk Premium
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Time Series Estimation Of The Bond Default Risk Premium
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Author : Jerry L. Stevens
language : en
Publisher:
Release Date : 2001
Time Series Estimation Of The Bond Default Risk Premium written by Jerry L. Stevens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The bond default risk premium, measured by the spread between higher and lower grade bond returns, is often estimated with univariate time series procedures and used as an input in financial models. In this paper, time series properties of the historical default risk premium are analyzed and forecasting results from univariate time series models are compared. An autoregressive model with an overraction component provides the best statistical fit for the bond default risk premium series. A random walk model exhibits the worst fit. The findings are robust over a variety of model specifications and measure the time series process the univariate time series models explain a small percentage of the variation in the default risk premium, raising questions about traditional approaches to estimating the expected default risk premium.
Time Varying Risk Premia In Corporate Bond Markets
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Author : Redouane Elkamhi
language : en
Publisher:
Release Date : 2008
Time Varying Risk Premia In Corporate Bond Markets written by Redouane Elkamhi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
We study the link between corporate bond risk premia and equity returns in a large panel of corporate bond transaction data. In contrast to previous work, we find that a significant part of the time variation in bond risk premia can be explained by equity implied bond risk premium estimates. We also document a large time variation in the expected loss component of bond spreads. This component is related to total asset volatility, whereas the risk premium is related to systematic volatility. In addition, we show by means of linear regressions that augmenting the set of variables predicted by typical structural models with equity-implied bond default risk premia significantly increases explanatory power.
Financial Derivatives Pricing Selected Works Of Robert Jarrow
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Author : Robert A Jarrow
language : en
Publisher: World Scientific
Release Date : 2008-10-08
Financial Derivatives Pricing Selected Works Of Robert Jarrow written by Robert A Jarrow and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-08 with Business & Economics categories.
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
The Credit Market Handbook
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Author : H. Gifford Fong
language : en
Publisher: John Wiley & Sons
Release Date : 2006-02-02
The Credit Market Handbook written by H. Gifford Fong and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-02-02 with Business & Economics categories.
In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of modeling credit default. In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include: * Estimating default probabilities implicit in equity prices * Structural versus reduced form models: a new information-based perspective * Valuing high-yield bonds * Predictions of default probabilities in structural models of debt * And much more Filled with in-depth insight and expert advice, this invaluable resource offers you the critical information you need to succeed within today's credit market.
The Economics Of Transition
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Author : Egor Timurovich Gaĭdar
language : en
Publisher: MIT Press
Release Date : 2003
The Economics Of Transition written by Egor Timurovich Gaĭdar and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
This collection of essays discuss the economic policy problems that confront postcommunist countries. Most chapters focus on liberalization of the exchange rate and trade system, macroeconomic stabilization, and institutional reform.
The Equity Risk Premium A Contextual Literature Review
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Author : Laurence B. Siegel
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2017-12-08
The Equity Risk Premium A Contextual Literature Review written by Laurence B. Siegel and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-08 with Business & Economics categories.
Research into the equity risk premium, often considered the most important number in finance, falls into three broad groupings. First, researchers have measured the margin by which equity total returns have exceeded fixed-income or cash returns over long historical periods and have projected this measure of the equity risk premium into the future. Second, the dividend discount model—or a variant of it, such as an earnings discount model—is used to estimate the future return on an equity index, and the fixed-income or cash yield is then subtracted to arrive at an equity risk premium expectation or forecast. Third, academics have used macroeconomic techniques to estimate what premium investors might rationally require for taking the risk of equities. Current thinking emphasizes the second, or dividend discount, approach and projects an equity risk premium centered on 3½% to 4%.
Three Essays On Credit Risk Fixed Income And Derivatives
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Author : Redouane Elkamhi
language : en
Publisher:
Release Date : 2008
Three Essays On Credit Risk Fixed Income And Derivatives written by Redouane Elkamhi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Credit categories.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
The Fundamental Determinants Of Credit Default Risk For European Large Complex Financial Institutions
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Author : Jiri Podpiera
language : en
Publisher: International Monetary Fund
Release Date : 2010-06-01
The Fundamental Determinants Of Credit Default Risk For European Large Complex Financial Institutions written by Jiri Podpiera and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-01 with Business & Economics categories.
This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.
Measuring Default Risk Premia From Default Swap Rates And Edfs
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Author : Antje Berndt
language : en
Publisher:
Release Date : 2005
Measuring Default Risk Premia From Default Swap Rates And Edfs written by Antje Berndt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Corporate debt categories.
This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by Moody's KMV EDFs, and default swap (CDS) market rates. The default-swap data, obtained through CIBC from 22 banks and specialty dealers, allow us to establish a strong link between actual and risk-neutral default probabilities for the 69 firms in the three sectors that we analyze: broadcasting and entertainment, healthcare, and oil and gas. We find dramatic variation over time in risk premia, from peaks in the third quarter of 2002, dropping by roughly 50% to late 2003.