An analysis of market-index certificates of deposit

Chen, Andrew H.; Kensinger, John W.

doi:10.1007/bf00352565

Cited by 60 publications

(30 citation statements)

References 9 publications

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“…This study is part of the empirical literature dealing with SFPs. The first empirical examinations were conducted for Market Index Certificates of Deposit and an S&P Index Note at the U.S. market by Chen and Kensinger (1990) and Chen and Sears (1990). They use the default-free theoretical value as a reference and compare it with prices quoted by the banks.…”

Section: Journal Of Futures Markets Doi: 101002/futmentioning

confidence: 99%

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

Baule

Entrop

Wilkens

2008

Journal of Futures Markets

106

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This study analyzes bank margins in the German secondary market for exchange‐traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is applied to compare quoted and fair theoretical prices. For discount certificates, as the most popular type of structured financial products in Germany, an empirical study is conducted. Compared to earlier studies, total margins are found to be rather low, whereas the portion that draws back to credit risk appears to be a material part of the total margin. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 376–397, 2008

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Section: Journal Of Futures Markets Doi: 101002/futmentioning

confidence: 99%

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

Baule

Entrop

Wilkens

2008

Journal of Futures Markets

106

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“…Chen and Kensinger (1990), Chen and Sears (1990), Baubonis et al (1993) and Benet et al (2006) report significant deviations for equity-linked products on the US market. Brown and Davis (2004) detected significant price deviations for endowment warrants on the Australian market.…”

Section: Introductionmentioning

confidence: 95%

The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market

Entrop

Scholz

Wilkens

2009

Journal of Banking & Finance

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a b s t r a c tThis paper presents the first analysis of open-end leverage certificates on the German market. The major innovations of these certificates are twofold. First, issuers announce a price-setting formula according to which they are willing to buy and sell the certificates over time. Second, the product's lifetime is potentially endless. Our main findings are that the price-setting formula is (i) designed to strongly favor the issuer and (ii) is consistent with the main outcome of the 'life cycle hypothesis' for structured financial products [Stoimenov, P.A., Wilkens, S., 2005. Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments. Journal of Banking and Finance 29, 2971-2993]. (iii) This holds for different product features and also in the presence of issuers' credit risk and jump risk in the underlying.

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“…[1] In the case of the USA, there are only a handful of investigations dealing with their valuation, and these go back to the time when such products were first launched. CHEN and KENSINGER (1990) investigate products with a capital guarantee issued by commercial banks at the time of their issue, whilst CHEN and SEARS (1990) analyse the pricing of one similar product in both the primary and secondary market. Both studies find that the instruments were considerably overvalued when issued, whilst the latter established an undervaluation in the secondary market.…”

Section: Introductionmentioning

confidence: 99%

The Valuation of Structured Products: Empirical Findings for the Swiss Market

Grünbichler

Wohlwend²

2005

Fin Mkts Portfolio Mgmt

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This article analyses the valuation of 192 structured products without a capital guarantee. In contrast to similar studies, this investigation takes in both the primary and the secondary market. Its central element is a comparison of the implied volatilities of the options contained in the structured products with those of comparable EUREX options. Generally speaking, the results may well come as a surprise both concerning the scale of the phenomenon detected and its significance. Taken as a whole, the results provide grounds for assuming that certain inefficiencies exist on the Swiss market for structured products and that lead managers manage to exploit their quasi-monopolistic position in a rational manner. Copyright Swiss Society for Financial Market Research 2005structured products, implied volatility, valuation,

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An analysis of market-index certificates of deposit

Cited by 60 publications

References 9 publications

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market

The Valuation of Structured Products: Empirical Findings for the Swiss Market

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