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- Byström, Hans
(författare)
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Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling
- 2016
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper (letter) I discuss how blockchains potentially could affect the way credit risk is modeled, and how the improved trust and timing associated with blockchain-enabled real-time accounting could improve default prediction. To demonstrate the (quite substantial) effect the change would have on well-known credit risk measures, a simple case-study compares Z-scores and Merton distances to default computed using typical accounting data of today to the same risk measures computed under a hypothetical future blockchain regime.
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- Byström, Hans
(författare)
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Credit-Implied Forward Volatility and Volatility Expectations
- 2015
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across maturities. Long-term volatility expectations, in turn, are found to be low and stable while short-term expectations are higher and more volatile. The volatility expectation’s mean-reversion rate, finally, indicates that the credit market expects volatility shocks in the equity market to last for several years.
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- Byström, Hans
(författare)
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Credit Risk in a Pandemic
- 2021
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Using different measures of how the Covid-19 pandemic progresses we find that the level of credit risk among US blue chip companies increases in tandem with the Covid-19 virus spreading. The credit risk increases dramatically during the pandemic, but we find it to be short of the levels seen during the 2008–2009 financial crisis. Furthermore, we find weekly ups and downs in credit risk and virus impact to be significantly positively correlated throughout the pandemic. Finally, Basel II capital requirements increase drastically when the pandemic strikes but, again, not to the levels seen during the financial crisis.
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- Byström, Hans, et al.
(författare)
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Default Probabilities According to the Bond Market
- 2005
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we describe a simple way of analytically computing entire ìterm structures of default probabilities using information embedded in the corporate bond market data. This market-based approach of estimating the creditworthiness of firms gives probabilities of default at various maturities, and has the advantage over traditional credit ratings in that it is dynamic and forward looking.
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- Byström, Hans
(författare)
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Happiness and Gold Prices
- 2020
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Ingår i: Finance Research Letters. - : Elsevier BV. - 1544-6123. ; 35:July 2020
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We use the Twitter-based Hedonometer happiness index to study the link between happiness and gold price changes. We find no significant correlation between the two when we look at correlations across the entire distributions. However, turning to an extreme value theory (EVT) modeling of the tails of the non-normally distributed happiness distribution we find that during particularly depressing days the gold price often goes up. In a sense, gold is found to serve as a happiness-related safe haven, i.e. as a hedge against extreme unhappiness.
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