Central Bank Research Hub - JEL classification C02: Mathematical Methods
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Latest research hub papers with the JEL classification:C02enA quantitative analysis of risk premia in the corporate bond market
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1141/en_tema_1141.pdf
Bank of Italy Working Papers by Sara CecchettiA quantitative analysis of risk premia in the corporate bond market2017-10-25T11:30:25ZWe propose an econometric model to decompose corporate bond spreads into compensation required by investors for unpredictable future changes in the credit environment and for expected default losses. We use the model to understand whether the significant reduction in corporate bond spreads observed since the launch of the CSPP (Corporate Sector Purchase Programme) is attributable more to the fact that expansionary monetary policy measures tend to increase the risk appetite of investors and compress risk premia, or to the ability of unconventional measures to reduce expected default losses by improving investors' expectations about the economic and financial conditions of issuers.A quantitative analysis of risk premia in the corporate bond marketAbstracthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1141/index.htmlFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1141/en_tema_1141.pdfSara CecchettiSara Cecchetti2017-10Bank of Italy Working PapersB26C02F30G12G15Between hawks and doves: measuring central bank communication
http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2085.en.pdf?7722f85cd32898d2fedcf4cfb4487018
European Central Bank Working papers by Ellen Tobback, Stefano Nardelli, David MartensBetween hawks and doves: measuring central bank communication2017-07-04T12:37:59ZBetween hawks and doves: measuring central bank communicationECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2085.en.pdf?7722f85cd32898d2fedcf4cfb4487018Ellen TobbackDavid MartensStefano NardelliEllen Tobback, Stefano Nardelli, David Martens2017-07-04European Central Bank Working papersC02C63E52E58Assessing the risks of asset overvaluation: models and challenges
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1114/index.html
Bank of Italy Working Papers by Sara Cecchetti and Marco TabogaAssessing the risks of asset overvaluation: models and challenges2017-05-03T12:46:00ZWe propose methods to compute confidence bands for the fundamental values of stocks and corporate bonds. These methods take into account uncertainty about future cash
lows and about the discount factors used to discount the cash flows. We use them to assess the current degree of under-/over-valuation of asset prices. We find no evidence of over-valuation of the stocks and corporate bonds of the major economies.Assessing the risks of asset overvaluation: models and challengesAbstracthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1114/index.htmlFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1114/en_tema_1114.pdfMarco TabogaSara CecchettiSara Cecchetti and Marco Taboga2017-05-03Bank of Italy Working PapersB26C02The time dimension of the links between loss given default and the macroeconomy
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2037.en.pdf
European Central Bank Working papers by Tomás Konecny, Jakub Seidler, Aelita Belyaeva, Konstantin BelyaevThe time dimension of the links between loss given default and the macroeconomy2017-03-15T12:37:00ZThe time dimension of the links between loss given default and the macroeconomyECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2037.en.pdfJakub SeidlerKonstantin BelyaevAelita BelyaevaTomás KonecnyTomás Konecny, Jakub Seidler, Aelita Belyaeva, Konstantin Belyaev2017-03-15European Central Bank Working papersC02G13G33Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective
http://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957
Bank of Italy Working Papers by Michele Leonardo BianchiAre the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective2014-07-08T12:33:00ZAre the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspectiveAbstracthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957Full texthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957/en_tema_957.pdfMichele Leonardo BianchiMichele Leonardo Bianchi4Bank of Italy Working PapersC02C46G23Real Term Structure and Inflation Compensation in the Euro Area
http://www.ijcb.org/journal/ijcb14q1a1.pdf
IJCB International Journal of Central Banking by Marcello PericoliReal Term Structure and Inflation Compensation in the Euro Area2014-02-28T17:34:59ZThis paper estimates the term structure of zero-coupon real interest rates for the euro area implied by French indexlinked bonds with a smoothing spline methodology, which is very effective in capturing the general shape of the real term structure, while smoothing through idiosyncratic variations in the yields. A comparison shows that the chosen spline outperforms other methodologies commonly used in the literature across several dimensions. The paper also estimates a liquidity-adjusted nominal term structure to compute the constant-maturity inflation compensation. This compensation is compared with the surveyed inflation expectation in order to obtain a measure of the inflation risk premium in the euro area during the last decade.Real Term Structure and Inflation Compensation in the Euro AreaAbstracthttp://www.ijcb.org/journal/ijcb14q1a1.htmFull texthttp://www.ijcb.org//www.ijcb.org/journal/ijcb14q1a1.pdfMarcello PericoliMarcello Pericoli2014-03IJCB International Journal of Central BankingC02G1G12A dynamic default dependence model
http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td892_12/en_td892/en_tema_892.pdf
Bank of Italy Working Papers by Sara Cecchetti and Giovanna NappoA dynamic default dependence model2012-12-14T17:36:59ZWe develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and Lévy subordinators are used to model the dependence among default times. In particular, we define a cumulative dynamic hazard process as a Lévy subordinator, which allows for jumps and induces positive probabilities of joint defaults. We allow the main asset classes in the portfolio to have different cumulative default probabilities and corresponding different cumulative hazard processes. Under this heterogeneous assumption we compute the portfolio loss distribution in closed form. Using an approximation of the loss distribution, we calibrate the model to the tranches of the iTraxx Europe. Once the multivariate default distribution has been estimated, we analyse the distress dependence in the portfolio by computing indicators of systemic risk, such as the Stability Index, the Distress Dependence Matrix and the Probability of Cascade Effects.A dynamic default dependence modelAbstracthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td892_12/en_td892Full texthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td892_12/en_td892/en_tema_892.pdfGiovanna NappoSara CecchettiSara Cecchetti and Giovanna Nappo2012-11Bank of Italy Working PapersB26C02C53Sharing a risky cake
http://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdf
Reserve Bank of New Zealand Discussion Papers by David Baqaee and Richard Watt (PDF 213KB)Sharing a risky cake2010-10-01T06:23:00ZConsider an n-person bargaining problem where players bargain over the division of a cake whose size is stochastic. In such a game, the players are not only bargaining over the division of a cake, but they are also sharing risk. This paper presents the Nash bargaining solution to this problem, investigates its properties, and highlights a few special cases.Sharing a risky cakeFull texthttp://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdfRichard WattDavid BaqaeeDavid Baqaee and Richard Watt (PDF 213KB)2010Reserve Bank of New Zealand Discussion PapersC02C71C78The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic
http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2009_13.pdf
Czech National Bank Working papers by Jakub Seidler and Petr JakubíkThe Merton Approach to Estimating Loss Given Default: Application to the Czech Republic2010-08-19T06:23:00ZJEL Codes: C02, G13, G33.The Merton Approach to Estimating Loss Given Default: Application to the Czech RepublicAbstracthttp://www.cnb.cz/en/research/research_publications/cnb_wp/2009/cnbwp_2009_13.htmlFull texthttp://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2009_13.pdfPetr JakubíkJakub SeidlerJakub Seidler and Petr Jakubík2009-08Czech National Bank Working papersC02G13G33Dynamics in Systematic Liquidity
http://research.stlouisfed.org/wp/2009/2009-025.pdf
St Louis Fed Working Papers by Björn Hagströmer, Richard G. Anderson, Jane M. Binner, and Birger NilssonDynamics in Systematic Liquidity2009-05-27T17:42:59ZWe develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1) cross-sectional stock liquidity and (2) cross-sectional stock returns. For several traditional liquidity measures our results suggest an expanding window specification for systematic liquidity estimation. However, for price impact liquidity measures we find support for a moving window specification. The market average proxy of systematic liquidity produces the same degree of commonality, but does not have the same ability to explain stock returns as the PCA-based estimates.Dynamics in Systematic LiquidityAbstracthttp://research.stlouisfed.org/wp/more/2009-025/Full texthttp://research.stlouisfed.org/wp/2009/2009-025.pdfBirger NilssonRichard G. AndersonJane M. BinnerBjörn HagströmerBjörn Hagströmer, Richard G. Anderson, Jane M. Binner, and Birger Nilsson2009-05St Louis Fed Working PapersC02G10Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1002.pdf
European Central Bank Working papers by Olli Castrén, Trevor Fitzpatrick, Matthias SydowAssessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks2009-02-16T12:43:00Z(JEL: C02, C19, C52, C61, E32) In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these LCBGs and over time. Furthermore, the results show that large negative shocks to real GDP have the largest impact on the credit risk profiles of banks in the sample. Notwithstanding some caveats, the results demonstrate the potential value of this approach for monitoring financial stability.Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocksECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1002.pdfOlli CastrénTrevor FitzpatrickMatthias SydowOlli Castrén, Trevor Fitzpatrick, Matthias Sydow2009-02-11European Central Bank Working papersC02C19C52C61E32An Analytical Approach to Merton´s Rational Option Pricing Theory.
http://www.banxico.org.mx/documents/{480D9F85-2B38-E743-14B7-B6FCB9A36A2C}.pdf
Bank of Mexico Working Papers by Elizondo Rocío; Padilla PabloAn Analytical Approach to Merton´s Rational Option Pricing Theory.2008-04-03T17:40:59ZAn Analytical Approach to Merton´s Rational Option Pricing Theory.Full texthttp://www.banxico.org.mx/documents/{480D9F85-2B38-E743-14B7-B6FCB9A36A2C}.pdfRocío ElizondoPablo PadillaElizondo Rocío; Padilla Pablo2008Bank of Mexico Working PapersC02G10G11