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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2014 - This version: August 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10010530827
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Similarities and differences between US and German regulation of the use of derivatives and leverage by mutual funds : what can regulators learn from each other?
Gałkiewicz, Dominika Paula - 2014
.S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …
Persistent link: https://www.econbiz.de/10010402916
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Similarities and differences between US and German regulation of the use of derivatives and leverage by mutual funds : what can regulators learn from each other?
Galkiewicz, Dominika Paula - 2014
.S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …
Persistent link: https://www.econbiz.de/10010402939
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2015
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10010503880
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The dynamics of foreign exchange derivative use in China
Sun, Yidi; Morley, Bruce - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
Chinese firms, following their regulatory changes in the derivative markets. The original contributions to this literature … probability approach. The results suggest the main determinants of derivative use are the overseas trade conducted by these firms …
Persistent link: https://www.econbiz.de/10012622444
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Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio (contributor) - 2008
Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...
Persistent link: https://www.econbiz.de/10003636292
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Deriving the dependence structure of portfolio credit derivatives using evolutionary algorithms
Hager, Svenja (contributor); Schöbel, Rainer (contributor) - 2006
Even if the correct modeling of default dependence is essential for the valuation of portfolio credit derivatives, for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equalpairwise correlationsfor all assets in the reference portfolio has become the standard...
Persistent link: https://www.econbiz.de/10003636680
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Futures prices in a production economy with investment constraints
Kogan, Leonid (contributor); Livdan, Dmitry (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003726382
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Macroeconomic derivatives : an initial analysis of market-based macro forecasts, uncertainty and risk
Gurkaynak, Refer S. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003726856