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Data Delays, Index Deletions, Prepayments, and Defaults

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Author Info
Rosenthal, Dale W.R.

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Abstract

High-frequency traders and microstructure researchers must account for delays in published information; index and ``index plus'' fund managers pay liquidity costs when indices change; and, debt markets quote weighted-average metrics for loan portfolios and are concerned with prepayments and defaults. I consider statistical models for data delays; and, I propose metrics for similar waiting time risks: index-deletion, prepayment, and default. Using standard assumptions, these all may be nearly gamma-distributed. Small-sample density approximations are shown to be consistent under mild conditions. Finally, I discover an improved version of a metric currently used in rating CDOs.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8556.

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Date of creation: 22 Jan 2008
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Handle: RePEc:pra:mprapa:8556

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C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
G0 - Financial Economics - - General

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  1. Lynch, Anthony W & Mendenhall, Richard R, 1997. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index," Journal of Business, University of Chicago Press, vol. 70(3), pages 351-83, July. [Downloadable!] (restricted)
  2. Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October. [Downloadable!] (restricted)
  3. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March. [Downloadable!] (restricted)
  4. Vyacheslav Gorovoy & Vadim Linetsky, 2007. "Intensity-Based Valuation Of Residential Mortgages: An Analytically Tractable Model," Mathematical Finance, Blackwell Publishing, vol. 17(4), pages 541-573. [Downloadable!] (restricted)
  5. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(2), pages 481-523.
  6. Ingo Fender & John Kiff, 2004. "CDO rating methodology: Some thoughts on model risk and its implications," BIS Working Papers 163, Bank for International Settlements. [Downloadable!]
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