Extracting implied volatilities from bank bonds
ML Bianchi, GL Tassinari - Quantitative Finance, 2023 - Taylor & Francis
In this work, we explore the information content of senior, subordinated and additional tier 1
(or contingent convertible) bonds issued by euro-area banks. We analyze both the asset …
(or contingent convertible) bonds issued by euro-area banks. We analyze both the asset …
Stock return expectations in the credit market
H Byström - International Review of Financial Analysis, 2018 - Elsevier
In this paper we compute long-term stock return expectations (across the business cycle) for
individual firms using information backed out from the credit derivatives market. Our …
individual firms using information backed out from the credit derivatives market. Our …
Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges
H Byström - Journal of Futures Markets, 2015 - Wiley Online Library
This study discusses how to compute and forecast long‐term stock return volatilities,
typically with a five‐year horizon or longer, using credit derivatives, and how such volatilities …
typically with a five‐year horizon or longer, using credit derivatives, and how such volatilities …
[HTML][HTML] Credit-implied forward volatility and volatility expectations
H Byström - Finance Research Letters, 2016 - Elsevier
We show how one can back out implied forward volatility term structures from credit default
swap spreads. Such forward stock volatility term structures are useful for instance in forward …
swap spreads. Such forward stock volatility term structures are useful for instance in forward …
Inter-Market Basis Relations
CL Culp, A van der Merwe, BJ Stärkle, CL Culp… - Credit Default Swaps …, 2018 - Springer
No-arbitrage relationships characterize relative prices of credit default swaps (“CDSs”) vis-à-
vis bonds and equities issued by the same reference entities. We review the empirical …
vis bonds and equities issued by the same reference entities. We review the empirical …