发布求助
文献互助 智能选刊 最新文献

ERN: Swaps & Forwards (Topic)最新文献

筛选
英文 中文
The Short-Time ATM Skew and Volatility Swaps 短期ATM倾斜和波动性掉期
ERN: Swaps & Forwards (Topic) Pub Date : 2021-09-04 DOI: 10.2139/ssrn.3917510
Frido Rolloos
{"title":"The Short-Time ATM Skew and Volatility Swaps","authors":"Frido Rolloos","doi":"10.2139/ssrn.3917510","DOIUrl":"https://doi.org/10.2139/ssrn.3917510","url":null,"abstract":"The short-time ATM skew can be interpreted as the ratio of the difference between the volatility swap and the dual volatility swap to the ATM implied variance.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126866875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Variance Discount Rates: What Drives Preferences over Variance Risk? 方差折现率:是什么驱使偏好高于方差风险?
ERN: Swaps & Forwards (Topic) Pub Date : 2020-11-12 DOI: 10.2139/ssrn.3728730
Joren Koëter
{"title":"Variance Discount Rates: What Drives Preferences over Variance Risk?","authors":"Joren Koëter","doi":"10.2139/ssrn.3728730","DOIUrl":"https://doi.org/10.2139/ssrn.3728730","url":null,"abstract":"I study time-variation in variance discount rates, defined as the expected returns for investing in variance risk. I show that variance discount rates drive a significant fraction of the variation in prices of S&P 500 variance swaps. This analysis offers important insights into preferences of investors over variance risk. I decompose variation in prices into variation due to variance expectations and variation due to variance discount rates. Variance expectations drive most of the variation in short-term variance swaps, whereas variance discount rates drive most of the variation in long-term variance swaps. I show that prominent asset pricing models, in which variation in the equity premium originates from variation in variance risk, have profoundly different predictions regarding the behavior of variance discount rates. None of the models analyzed are able to match the empirical properties of variance discount rates.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117018487","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Determinants of European Bank Credit Default Swap Spreads 欧洲银行信用违约互换价差的决定因素
ERN: Swaps & Forwards (Topic) Pub Date : 2020-03-14 DOI: 10.2139/ssrn.3614839
Jan Vogelheim
{"title":"Determinants of European Bank Credit Default Swap Spreads","authors":"Jan Vogelheim","doi":"10.2139/ssrn.3614839","DOIUrl":"https://doi.org/10.2139/ssrn.3614839","url":null,"abstract":"This paper analyzes the determinants of empirical credit default swap (CDS) spreads of European banks based on two different panel regression models. Previous studies primarily focus on non-financial firms. The Expected Default Frequency (EDF) is a statistically significant and economically important credit risk factor from the KMV structural model. The panel regression attributes more than 50% of the CDS spread variation to model-based EDF. Among bank-specific CAMELS indicators, a liquidity indicator and the return on assets are significant determinants. In addition to balance sheet ratios, the market-based EDF provides a substantial contribution to increasing the model’s explanatory power. Furthermore, the stock market index is an important market-wide indicator of the macroeconomic environment explaining European bank CDS spreads. This empirical study is the first finding an explanatory content of the EURIBOR-EUREPO, TED and five-year swap spread for CDS spread levels. With rising funding and liquidity risks or general risks to financial market stability, bank CDS spreads increase. Moreover, the EURIBOR-EUREPO and TED spread are able to increase the adjusted R-squared.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116296531","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multi-Curve Cheyette-Style Models with Lower Bounds on Tenor Basis Spreads 具有中频基差下界的多曲线cheyette型模型
ERN: Swaps & Forwards (Topic) Pub Date : 2019-12-18 DOI: 10.2139/ssrn.3524703
M. Konikov, A. McClelland
{"title":"Multi-Curve Cheyette-Style Models with Lower Bounds on Tenor Basis Spreads","authors":"M. Konikov, A. McClelland","doi":"10.2139/ssrn.3524703","DOIUrl":"https://doi.org/10.2139/ssrn.3524703","url":null,"abstract":"The modeling of tenor basis spreads is of central importance to CVA for tenor basis swaps. Such spreads are typically positive, suggesting a natural lower bound. We introduce a multi- curve Cheyette-style model with lower bounds enforced through level dependence in spread volatilities. The model is intuitive, easy to implement, and admits approximate swaption pricing formulae under affine specifications. We also discuss the importance of incorporating historical spread data into calibration criteria, and we formalize an according calibration strategy.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132651512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Effect of Corporate Diversification on Credit Risk: New Evidence from European Credit Default Swap Spreads 企业多元化对信用风险的影响:来自欧洲信用违约互换价差的新证据
ERN: Swaps & Forwards (Topic) Pub Date : 2019-12-01 DOI: 10.1111/acfi.12306
Joachim Rojahn, Florian Zechser
{"title":"The Effect of Corporate Diversification on Credit Risk: New Evidence from European Credit Default Swap Spreads","authors":"Joachim Rojahn, Florian Zechser","doi":"10.1111/acfi.12306","DOIUrl":"https://doi.org/10.1111/acfi.12306","url":null,"abstract":"This article investigates the impact of corporate diversification on credit risk. To our best knowledge, this is the first paper to use credit default swap (CDS) spreads instead of bond yield or revalued book values to test the risk-reduction hypothesis. The analysis relies upon a sample of STOXX® EUROPE 600 index members and covers the years 2010–2014. After controlling for various CDS- and firm-specific variables, we find that diversification strategies do not significantly lower CDS premiums. Multilevel mediation analysis further shows that information asymmetries overcompensate the risk-reducing effects resulting from corporate diversification.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116446707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
News Sentiment, Credit Spreads, and Information Asymmetry 新闻情绪、信用利差和信息不对称
ERN: Swaps & Forwards (Topic) Pub Date : 2019-11-21 DOI: 10.2139/ssrn.3220291
Shanxiang Yang, Zhechen Liu, Xinjie Wang
{"title":"News Sentiment, Credit Spreads, and Information Asymmetry","authors":"Shanxiang Yang, Zhechen Liu, Xinjie Wang","doi":"10.2139/ssrn.3220291","DOIUrl":"https://doi.org/10.2139/ssrn.3220291","url":null,"abstract":"This paper examines how the sentiment of firm-specific news affects CDS spreads conditional on the degree of information asymmetry. Using a large set of news releases, we document a strong negative relationship between the sentiment of firm-specific news and CDS spreads. More importantly, consistent with the role of public news in reducing information asymmetry, we find evidence that the relation between news sentiment and CDS spreads is stronger for firms with higher information asymmetry. Furthermore, the relation is stronger for news with negative sentiment and during the 2008 financial crisis. Our results are robust to alternative sentiment measures.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122247986","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures 商品期货远期曲线的函数时间序列分析
ERN: Swaps & Forwards (Topic) Pub Date : 2019-07-27 DOI: 10.2139/ssrn.3227025
Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang
{"title":"A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures","authors":"Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang","doi":"10.2139/ssrn.3227025","DOIUrl":"https://doi.org/10.2139/ssrn.3227025","url":null,"abstract":"We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced forward curves may be generally considered as stationary and conditionally heteroscedastic sequences of functions. Several functional methods for forecasting forward curves that more accurately reflect the time to expiry of contracts are developed, and we found that these typically outperformed their multivariate counterparts, with the best among them using the method of predictive factors introduced by Kargin and Onatski (2008).","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127632554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation 再论两因素赫尔-怀特模型:CVA计算中两因素利率模型的相关结构
ERN: Swaps & Forwards (Topic) Pub Date : 2019-03-16 DOI: 10.2139/ssrn.3338987
Osamu Tsuchiya
{"title":"Two-Factor Hull-White Model Revisited: Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation","authors":"Osamu Tsuchiya","doi":"10.2139/ssrn.3338987","DOIUrl":"https://doi.org/10.2139/ssrn.3338987","url":null,"abstract":"The development of credit valuation adjustment (CVA) (valuation adjustments [XVA]) [Green] has increased the importance of simple interest rate models such as the Hull-White model [Tan14] [Tsuchiya]. This is because the XVA model is an FX hybrid model, and is tractable only when the interest rate part is a simple Gaussian model. <br><br>For the XVA calculation of interest rate instruments, de-correlation of the yield curve can be important even for the swap portfolio. Capturing the correlation structure in the two-factor Hull-White model is an integral element of CVA (XVA) modeling. However, the correlation structure in two-factor Hull-White model has not studied enough except for the analysis in [AndersenPiterbarg].<br><br>In this study, the correlation structure of the two-factor Hull-White model is analyzed in detail. The correlation structure of co-initial swap rates is investigated using a combination of the approximation formula and Monte-Carlo simulation. The Hull-White model captures the de-correlation of the yield curve only when the parameters (volatilities and mean reversion strength) satisfy certain relationships, making the valuation of XVA by two-factor Hull-White model effective.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"349 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133140651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Information Sensitivity of Debt in Good and Bad Times 经济繁荣时期和经济萧条时期债务的信息敏感性
ERN: Swaps & Forwards (Topic) Pub Date : 2018-07-02 DOI: 10.2139/ssrn.2441577
Emanuele Brancati, M. Macchiavelli
{"title":"The Information Sensitivity of Debt in Good and Bad Times","authors":"Emanuele Brancati, M. Macchiavelli","doi":"10.2139/ssrn.2441577","DOIUrl":"https://doi.org/10.2139/ssrn.2441577","url":null,"abstract":"We empirically show the dynamics of information production and information sensitivity of bank debt around the Great Recession. As more precise information is produced at the onset of the crisis, bank debt becomes informationally sensitive, along two separate dimensions. First, precise information amplifies the effect of market expectations on default risk; second, for banks that are already expected to perform poorly, more precise information further increases default risk. Both effects are muted in good times. Overall, our findings are consistent with information-based models of financial crises.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"13 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132850648","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 24
Funding Value Adjustments 资金价值调整
ERN: Swaps & Forwards (Topic) Pub Date : 2017-08-01 DOI: 10.2139/ssrn.2746010
Leif Andersen, D. Duffie, Yang Song
{"title":"Funding Value Adjustments","authors":"Leif Andersen, D. Duffie, Yang Song","doi":"10.2139/ssrn.2746010","DOIUrl":"https://doi.org/10.2139/ssrn.2746010","url":null,"abstract":"In this paper, we demonstrate that the funding value adjustments (FVAs) of major dealers are debt overhang costs to their shareholders. To maximize shareholder value, dealer quotations therefore adjust for FVAs. Our case studies include interest‐rate swap FVAs and violations of covered interest parity. Contrary to current valuation practice, FVAs are not themselves components of the market values of the positions being financed. Current dealer practice does, however, align incentives between trading desks and shareholders. We also establish a pecking order for preferred asset financing strategies and provide a new interpretation of the standard debit value adjustment.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"354 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122757447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 101
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信