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Dynamic Hedging and Order Flow Dynamics
Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The price process in a financial market is driven by demand and supply. Statistical analyses have shown that price “feeds back” on future demand and supply. To date, few testable models have been proposed that offer an economic explanation for this relationship. In this paper, we investigate a...
Persistent link: https://www.econbiz.de/10005858377
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The Price of Protection : Derivatives, Default Risk, and Margining
Gibson, Rajna; Murawski, Carsten - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Like many financial contracts, derivatives are subject to default risk. A very popular mechanism in derivatives markets … to mitigate the risk of non-performance on contracts is margining. By attaching collateral to a contract, margining … supposedly reduces default risk. The broader impacts of the different types of margins are more ambiguous, however. In this paper …
Persistent link: https://www.econbiz.de/10005858762
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …
Persistent link: https://www.econbiz.de/10005858875