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Reforming securities and derivatives trading in the EU: from EMIR to MiFIR

Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2013

The financial crisis has generated a deep revision of the regulation of securities and derivatives markets. In this paper, we critically examine the extent to which current reforms, such as the European Market Infrastructure Regulation and the proposed new Markets in Financial Instruments...

Persistent link: https://www.econbiz.de/10011126127

Modelling and forecasting UK mortgage arrears and possessions

Aron, Janine; Muellbauer, John - London School of Economics (LSE) - 2010

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...

Persistent link: https://www.econbiz.de/10011126430

On time-scaling of risk and the square–root–of–time rule

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2003

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though only correct when returns are iid normal, is the square–root–of–time rule where an estimated quantile of a return distribution is scaled to a...

Persistent link: https://www.econbiz.de/10010745168

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2006

We provide an equilibrium multi-asset pricing model with micro-founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10010746199

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2008

We provide an equilibrium multi-asset pricing model with micro- founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10011126632

Regulating financial market infrastructures

Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2014

This paper focuses on the impact of financial market infrastructures (FMIs) and of their regulation on the post-crisis transformation of securities and derivatives markets. It examines, in particular, the role that trading and post-trading FMIs, and their new regulatory regime, are playing in...

Persistent link: https://www.econbiz.de/10011125895

Recovery rates, default probabilities and the credit cycle

Bruche, Max; Gonzalez-Aguado, Carlos - London School of Economics (LSE) - 2006

a model in which this dependence is the result of an unobserved credit cycle: When times are bad, the default … ignoring the dynamic nature of credit risk could lead to a severe underestimation of credit risk (e.g. by a factor of up to 1 ….7 in terms of the 95% VaR). Also, the model indicates that the credit cycle is related to but distinct from the business …

Persistent link: https://www.econbiz.de/10010746498

Endogenous liquidity and contagion

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth, volume, bid-ask spreads etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In this paper we propose a welfare-based...

Persistent link: https://www.econbiz.de/10010884503

Reputation effects in trading on the New York Stock Exchange

Battalio, Robert; Ellul, Andrew; Jennings, Robert - London School of Economics (LSE) - 2005

Theory suggests that reputations, developed in repeated face-to-face interactions, allow nonanonymous, floor-based trading venues to attenuate adverse selection in the trading process. We identify instances when stocks listed on the New York Stock Exchange (NYSE) experience a non-trivial...

Persistent link: https://www.econbiz.de/10010884510

Transactionalizing technologies versus performing contracts: from ERP to credit default swaps at AIG

Scott, Susan V.; Paris, Carolyn - London School of Economics (LSE) - 2009

Persistent link: https://www.econbiz.de/10010744933