A Simple Econometric Approach for Modeling Stress Event Intensities. Issue 4 (16th October 2014)

• Record Type: Journal Article
• Authors: Jobst, Rainer; Rösch, Daniel; Scheule, Harald; Schmelzle, Martin
• Is Part Of: Journal of futures markets. Volume 35:Issue 4(2015:Apr.)
• Page Start: 300
• Page End: 320
• Publication Date: 2014-10-16
• Subjects: Commodity exchanges -- Periodicals; Foreign exchange futures -- Periodicals; 332.632
• DOI: 10.1002/fut.21695
• Languages: English
• ISSNs: 0270-7314

Abstract

<abstract abstract-type="main" xml:lang="en"> <title>Abstract</title> <sec id="fut21695-sec-0001" sec-type="section"> <p>This paper introduces a simple, non‐parametric way of inferring risk‐neutral credit stress event intensities for idiosyncratic, sectoral, and global shocks contained in market credit spreads. We provide an econometric analysis of the implied latent stress event dynamics. A vector autoregressive regression model with exogenous variables finds that these intensities can be related to an observable stock market index, the market volatility, the volatility skew, and treasury yields. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:300–320, 2015</p> </sec> </abstract>