Something for Nothing: Probability Measures, Expected Returns and a Pricing Puzzle

2015 ◽  
Author(s):  
Jamil Baz ◽  
Ludovic Feuillet ◽  
Nicolas Le Roux
Keyword(s):  
Expected Returns ◽  
Probability Measures

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

LIFTING THE FUNCTOR ITO THE CATEGORY OF UNIFORM SPACES

2020 ◽  
Vol 4 (1) ◽  
pp. 29-39
Author(s):  
Dilrabo Eshkobilova ◽  
Keyword(s):  
Compact Support ◽  
Probability Measures ◽  
Uniform Spaces ◽  
Continuous Maps ◽  
Uniformly Continuous

Uniform properties of the functor Iof idempotent probability measures with compact support are studied. It is proved that this functor can be lifted to the category Unif of uniform spaces and uniformly continuous maps

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