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On the Forward-Futures Spread and Default Risk
Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We develop intuitive expressions for the spread between a forwardcontract and a similar futures contract taking into account the pos-sibility of counterparty default. We evaluate these expressions nu-merically and show that the forward-futures spread is significant forrealistic parameter...
Persistent link: https://www.econbiz.de/10005858907
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The Impact of Clearing on the Credit Risk of a Derivatives Portfolio
Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
Most derivative contracts are traded over-the-counter, i.e., bilaterally between two counterparties. Recently, clearing services have become available that allow to transfer over-the-counter derivatives to a central counterparty (clearing house). We develop a framework to determine the effects...
Persistent link: https://www.econbiz.de/10005859333
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Taipei,China's banking problems: lessons from the Japanese experience
Montgomery, Heather - Volkswirtschaftliche Fakultät, … - 2002
and equity, steadily rising non-performing loans and bank runs at smaller financial institutions have highlighted problems …
Persistent link: https://www.econbiz.de/10009277288
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The role of foreign banks in post-crisis Asia: the importance of method of entry
Montgomery, Heather - Volkswirtschaftliche Fakultät, … - 2003
economies, despite great increases in the post-crisis period. The author reviews regulations on foreign bank entry that may have … changes and the need for bank recapitalization in the region, the presence of foreign banks is expected to increase in the …, and may be due to the fact that foreign bank entry in Asia is still a very recent phenomenon, and has occurred mostly …
Persistent link: https://www.econbiz.de/10009278284