Jobst, Rainer and Roesch, Daniel and Scheule, Harald and Schmelzle, Martin (2015) A SIMPLE ECONOMETRIC APPROACH FOR MODELING STRESS EVENT INTENSITIES. JOURNAL OF FUTURES MARKETS, 35 (4). pp. 300-320. ISSN 0270-7314, 1096-9934
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This paper introduces a simple, non-parametric way of inferring risk-neutral credit stress event intensities for idiosyncratic, sectoral, and global shocks contained in market credit spreads. We provide an econometric analysis of the implied latent stress event dynamics. A vector autoregressive regression model with exogenous variables finds that these intensities can be related to an observable stock market index, the market volatility, the volatility skew, and treasury yields. (c) 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:300-320, 2015
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | COLLATERALIZED DEBT OBLIGATIONS; EMPIRICAL-ANALYSIS; DEFAULT RISK; CREDIT RISK; MARKET; DETERMINANTS; SPREADS; BONDS; RATES; SWAPS; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 22 Jul 2019 13:53 |
| Last Modified: | 22 Jul 2019 13:53 |
| URI: | https://pred.uni-regensburg.de/id/eprint/5758 |
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