کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088524 1478316 2015 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Riding the swaption curve
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Riding the swaption curve
چکیده انگلیسی

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by constructing long-short combinations of two at-the-money straddles for the four major swaption markets (USD, JPY, EUR and GBP). Our findings are consistent with a concave, upward-sloping maturity structure for all markets, with the largest negative premium for the shortest term maturity. The fact that both delta-vega and delta-gamma neutral straddle combinations earn positive returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results seem robust for macroeconomic announcements and the specific model choice to estimate the risk exposures for hedging.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 59, October 2015, Pages 57-75
نویسندگان
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