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Klingler, Sven; Kim, Young Shin; Rachev, Svetlozar T.; Fabozzi, Frank J. (, 2013)[More information][Less information]
Abstract: In this paper, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good t to observed option prices. To demonstrate the advantages of the new processes, we conduct two empirical studies to compare their performance to other processes that have been used in the literature. URI: http://hdl.handle.net/10398/9104 Files in this item: 1
sven_klingler_option_pricing.pdf (279.7Kb) -
Fatum, Rasmus; Pedersen, Jesper; Norman Sørensen, Peter (, 2012)[More information][Less information]
Abstract: We investigate the intraday effects of intra-marginal intervention in a horizontal band on the exchange rate spread. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union, facilitates our analysis. We show that intervention purchases and sales both exert a significant influence on the exchange rate spread, but in opposite directions. Intervention purchases of the small currency, on average, narrow the spread while intervention sales of the small currency, on average, widen the spread. This is a novel finding that differs from those of existing studies that find intervention always widens the exchange rate spread and increases market uncertainty. URI: http://hdl.handle.net/10398/9103 Files in this item: 1
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Feldhütter, Peter; Stenbo Nielsen, Mads (, 2012)[More information][Less information]
Abstract: We present a new estimation approach that allows us to extract from spreads in synthetic credit markets the contribution of systematic and idiosyncratic default risk to total default risk. Using an extensive data set of 90,600 CDS and CDO tranche spreads on the North American Investment Grade CDX index we conduct an empirical analysis of an intensity-based model for correlated defaults. Our results show that systematic default risk is an explosive process with low volatility, while idiosyncratic default risk is more volatile but less explosive. Also, we nd that the model is able to capture both the level and time series dynamics of CDO tranche spreads. URI: http://hdl.handle.net/10398/9102 Files in this item: 1
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Christensen, Peter Ove; Flor, Christian Riis; Lando, David; Miltersen, Kristian R. (, 2014)[More information][Less information]
Abstract: We consider a dynamic trade-off model of a firm’s capital structure with debt renegotiation. Debt holders only accept restructuring offers from equity holders backed by threats which are in the equity holders’ own interest to execute. Our model shows that in a complete information model in which taxes and bankruptcy costs are the only frictions, violations of the absolute priority rule (APR) are typically optimal. The size of the bankruptcy costs and the equity holders’ bargaining power affect the size of APR violations, but they have only a minor impact on the choice of capital structure. URI: http://hdl.handle.net/10398/9101 Files in this item: 1
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Lando, David; Medhat, Mandouh; Stenbo Nielsen, Mads; Feodor Nielsen, Søren (, 2012)[More information][Less information]
Abstract: We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, non- nancial U.S. rms. The setting allows for estimating and testing the signi cance of time-varying e ects. We use a variety of model checking techniques to identify misspeci cations. In our nal model we nd evidence of time-variation in the e ects of distance-to-default and short-to-long term debt, we identify interactions between distance-to-default and other covariates, and the quick ratio covariate is signi cant. None of our macroeconomic covariates are signi cant. URI: http://hdl.handle.net/10398/9100 Files in this item: 1
david_lando_additive_intensity.pdf (5.373Mb)
