Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option
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| 024 | 7 | 0 | |a 10.1007/s11147-014-9106-z |2 doi |
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| 245 | 0 | 0 | |a Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option |h [Elektronische Daten] |c [Andreas Rathgeber, David Rudolph, Stefan Stöckl] |
| 520 | 3 | |a Can the credit spreads of one and the same issuer differ in two different currencies? If so, can an investor exploit this situation? To answer these questions and to contribute to the existing literature, we extend the Jarrow/Turnbull-model with a second currency, price a quanto option, and test the theoretical results with an extensive empirical study. A major result of the study was the key insight that the credit spreads, and therefore the cumulated implied default probabilities of nearly all bonds denominated in USD in comparison to EUR denominated bonds, are significantly higher for all terms, and are mostly driven by the correlation between default risk and exchange rate. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Credit spreads |2 nationallicence | |
| 690 | 7 | |a Efficient market hypothesis |2 nationallicence | |
| 690 | 7 | |a Foreign currency government bonds |2 nationallicence | |
| 690 | 7 | |a Implied default probabilities |2 nationallicence | |
| 690 | 7 | |a Term structure of interest rate |2 nationallicence | |
| 700 | 1 | |a Rathgeber |D Andreas |u Department of Public Health and Health Technology Assessment, University of Health Sciences, Medical Informatics and Technology (UMIT), EWZ 1, 6060, Hall in Tyrol, Austria |4 aut | |
| 700 | 1 | |a Rudolph |D David |u Chair of Finance and Information Management, Faculty of Mathematics and Natural Sciences, Institute of Materials Resource Management, University of Augsburg, Universitätsstraße 12, 86159, Augsburg, Germany |4 aut | |
| 700 | 1 | |a Stöckl |D Stefan |u ICN Business School Nancy|Metz (Grande école) - CEREFIGE, 3 Place Edouard Branly, 57070, Metz, France |4 aut | |
| 773 | 0 | |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/2(2015-07-01), 107-143 |x 1380-6645 |q 18:2<107 |1 2015 |2 18 |o 11147 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-014-9106-z |q text/html |z Onlinezugriff via DOI |
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| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
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| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11147-014-9106-z |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rathgeber |D Andreas |u Department of Public Health and Health Technology Assessment, University of Health Sciences, Medical Informatics and Technology (UMIT), EWZ 1, 6060, Hall in Tyrol, Austria |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rudolph |D David |u Chair of Finance and Information Management, Faculty of Mathematics and Natural Sciences, Institute of Materials Resource Management, University of Augsburg, Universitätsstraße 12, 86159, Augsburg, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Stöckl |D Stefan |u ICN Business School Nancy|Metz (Grande école) - CEREFIGE, 3 Place Edouard Branly, 57070, Metz, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/2(2015-07-01), 107-143 |x 1380-6645 |q 18:2<107 |1 2015 |2 18 |o 11147 | ||