منابع مشابه
Bond Risk Premia and Realized Jump Risk∗
We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size—identified from high-frequency bond returns using the bi-power variation technique—substantially increases the R2 of the regression. This result is consistent with the setting of an unspanned risk factor in which the conditional distribution o...
متن کاملLiability Concentration and Systemic Losses in Financial Networks
The objective of this study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the interconnectedness of banks in a financial network. We develop notions of balancing and unbalancing networks to...
متن کاملCorporate Bond Risk Premia
This paper investigates the risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two risk factors are derived from yield and macroeconomic data: a priced term risk factor and a priced credit risk factor explain half of the variation in one-year corporate and Treasury excess returns. The information of the term risk factor is not represented by major yield character...
متن کاملMunicipal Bond Risk Ratings
Thesis Statement In recent years, the legitimacy of bond ratings given by top rating agencies has been under extreme scrutiny by the general public and the government. The faith and trust that the public puts into credit rating agencies such as Standard & Poor's, Moody's, and Fitch is based on the notion that they will publically assign unbiased risk ratings which truly reflect the creditworthi...
متن کاملBond Variance Risk Premia
Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected varia...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3512531