Results 221 to 230 of about 207,411 (266)
Journal of Financial Econometrics, 2009 We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth.
Lars Peter Hansen +3 more
openaire +3 more sources
The price of variance risk [PDF]
Journal of Financial Economics, 2014 In the period 1996-2014, the average investor in the variance swap market was indifferent to news about future variance at horizons ranging from 1 month to 14 years. It is only purely transitory and unexpected realized variance that were priced. These results present a challenge to most structural models of the variance risk premium, such as the ...
Ian Dew-Becker +3 more
openaire +1 more source
Pricing the risks of default [PDF]
Review of Derivatives Research, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dilip Madan, Haluk Unal
openaire +2 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
The pricing of carbon risk in syndicated loans: Which risks are priced and why?
Journal of Banking & Finance, 2021Abstract Do banks price the risks of climate policy change? Combining syndicated loan data with carbon intensity data (CO2 emissions relative to revenue) of borrowers across a wide range of industries, we find a significant “carbon premium” since the Paris Agreement.
Torsten Ehlers +2 more
openaire +1 more source
Journal of Banking & Finance, 2011
Abstract Recovery risk to explain corporate debt premia has not received much attention so far, most likely due to the difficulties around decomposing the expected loss. We exploit the fact that differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery rates.
Schläfer, T., Uhrig-Homburg, Marliese
openaire +2 more sources
Abstract Recovery risk to explain corporate debt premia has not received much attention so far, most likely due to the difficulties around decomposing the expected loss. We exploit the fact that differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery rates.
Schläfer, T., Uhrig-Homburg, Marliese
openaire +2 more sources
To Securitize or to Price Credit Risk?
Journal of Financial and Quantitative Analysis, 2022AbstractDo lenders securitize or price loans in response to credit risk? Exploiting exogenous variation in regional credit risk due to foreclosure law differences along U.S. state borders, we find that lenders securitize mortgages that are eligible for sale to the government-sponsored enterprises (GSEs) rather than price regional credit risk.
Danny McGowan, Huyen Nguyen
openaire +2 more sources
SSRN Electronic Journal, 2007
The uncertainty about the future mortality developments is referred to as longevity risk. This paper quanti…es the size of longevity risk premium which should be priced in various longevity-linked securities and annuity contracts. The goal of this project is to tackle the pricing di¢ culty emerged during the market innovation of the potential longevity-
openaire +2 more sources
The uncertainty about the future mortality developments is referred to as longevity risk. This paper quanti…es the size of longevity risk premium which should be priced in various longevity-linked securities and annuity contracts. The goal of this project is to tackle the pricing di¢ culty emerged during the market innovation of the potential longevity-
openaire +2 more sources
Wealth, Welfare, and the Price of Risk
The Journal of Finance, 1972IN THE THEORY of business finance, the most commonly advocated criterion for corporate investment is that such investment (and its associated financing) should be undertaken if and only if it serves to increase the price of the firm's common shares. This rule is often justified on the basis that an increase in the price of shares results in increased ...
openaire +1 more source
The Pricing of Options with Default Risk
The Journal of Finance, 1987ABSTRACTThis paper considers the pricing of options with default risk. The comparative statics of such options can differ from those of ordinary options, and early exercise of such American call options can be optimal. Several examples of options with default risk are considered.
Johnson, Herb, Stulz, Rene
openaire +1 more source
SSRN Electronic Journal, 2018
We examine the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and 2013. We decompose tail risks into those with respect to local and global market returns and find that both risks are independently priced. Due to the increased demand for hedging tail risks, the premia for both tail risks are positively related to globalization ...
Kuan-Hui Lee, Cheol-Won Yang
openaire +1 more source
We examine the pricing of tail risk for 43,000 stocks from 46 countries between 1995 and 2013. We decompose tail risks into those with respect to local and global market returns and find that both risks are independently priced. Due to the increased demand for hedging tail risks, the premia for both tail risks are positively related to globalization ...
Kuan-Hui Lee, Cheol-Won Yang
openaire +1 more source