Arbeitspapier
The term structure of risk premia: new evidence from the financial crisis
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean of the risk premium process was of the same magnitude before and during the crisis. These findings suggest that (marginal) investors have become more risk averse during the crisis. Investors were, however, well aware that risk premia will revert back to normal levels in the long run.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1165
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
Credit risk
Equity premium
Mean reversion
risk premia
structural models of default
Kreditrisiko
Risikoprämie
Zinsstruktur
Mean Reversion
Kreditderivat
Theorie
Europa
USA
- Event
-
Geistige Schöpfung
- (who)
-
Berg, Tobias
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Berg, Tobias
- European Central Bank (ECB)
Time of origin
- 2010
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