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Are derivatives dangerous? : A literature survey
Capelle-Blancard, Gunther - 2010
Persistent link: https://www.econbiz.de/10008748169
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Security Baskets and Index-Linked Securities
Gorton, Gary B. - 2010
Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of … other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate … them. In this paper we study the existence and optimal design of composite securities. We first show that when some …
Persistent link: https://www.econbiz.de/10013138948
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Security Baskets and Index-Linked Securities
Gorton, Gary - 1991
Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of … other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate … them. In this paper we study the existence and optimal design of composite securities. We first show that when some …
Persistent link: https://www.econbiz.de/10012475296
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Asset management in volatile markets
Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329
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Gold as a Financial Instrument
Gomis‐Porqueras, Pedro; Shi, Shuping; Tan, David - 2020
In this paper, we explore the effectiveness of gold as a hedging and safe haven instrument for a variety of market … risks. Rather than confining the analysis to specific countries, we treat gold as a global asset and apply the novel … speed of changes in price dynamics that better characterises periods of abnormally high risks. We find that gold is a strong …
Persistent link: https://www.econbiz.de/10014349099
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Liquidity and the threat of fraudulent assets
Li, Yiting; Rocheteau, Guillaume; Weill, Pierre-Olivier - 2011
"We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates...
Persistent link: https://www.econbiz.de/10009310296
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Finding a Good Price in Opaque Over-the-Counter Markets
Zhu, Haoxiang - 2011
This paper offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced...
Persistent link: https://www.econbiz.de/10013134227
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Liquidity and the Threat of Fraudulent Assets
Li, Yiting - 2011
We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous...
Persistent link: https://www.econbiz.de/10013119606
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Liquidity and the Threat of Fraudulent Assets
Li, Yiting - 2011
We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous...
Persistent link: https://www.econbiz.de/10013119877
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Secondary Market Liquidity and Security Design : Theory and Evidence from ABS Markets
Friewald, Nils - 2015
We develop a theory of primary market discounts demanded by ex ante identical strategic uninformed investors facing heterogeneous carrying cost realizations. Such investors demand primary market discounts equaling expected secondary market trading losses plus carrying costs. Security design is...
Persistent link: https://www.econbiz.de/10013017035