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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013
). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …
Persistent link: https://www.econbiz.de/10011201776
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Does Anonymity Matter in Electronic Limit Order Markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Volkswirtschaftliche Fakultät, … - 2004
and market liquidity are different in each market design. We test these predictions using a natural experiment. As of …
Persistent link: https://www.econbiz.de/10005248997
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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008
liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal … of the position but increasing in the liquidity price impact. …
Persistent link: https://www.econbiz.de/10005623263
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Why Do Financial Intermediaries Buy Put Options from Companies?
Gyoshev, Stanley; Kaplan, Todd R.; Szewczyk, Samuel; … - Volkswirtschaftliche Fakultät, … - 2012
In the 1990s, companies collected billions in premiums from peculiarly structured put options written on their own stock while almost all of these puts expired worthless. Buyers of these options, primarily �nancial intermediaries, lost money as a result. Although these losses might seem...
Persistent link: https://www.econbiz.de/10011260748
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Performance metrics for algorithmic traders
Rosenthal, Dale W.R. - Volkswirtschaftliche Fakultät, … - 2009
Portfolio traders may split large orders into smaller orders scheduled over time to reduce price impact. Since handling many orders is cumbersome, these smaller orders are often traded in an automated (“algorithmic”) manner. We propose metrics using these orders to help measure various...
Persistent link: https://www.econbiz.de/10009650665
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Liquidity and Asset Prices
Amihud, Yakov; Mendelson, Haim; Pedersen, Lasse Heje - Volkswirtschaftliche Fakultät, … - 2005
We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …
Persistent link: https://www.econbiz.de/10008645110
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Profiting from Mimicking Strategies in Non-Anonymous Markets
Vasios, Michalis; Payne, Richard; Nolte, Ingmar - Volkswirtschaftliche Fakultät, … - 2015
We explore the information content of counterparty identities and how their disclosure can be exploited by other investors in a post-trade transparent market. Using data from the Helsinki Stock Exchange, we form dynamic mean-variance strategies with daily rebalancing which condition on the net...
Persistent link: https://www.econbiz.de/10011145367
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Indian corporate bonds market –an analytical prospective
Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2012
year 2011-12 witnessed unprecedented liquidity scarcity in the Indian market and rolling over a debt was considered costly … the same falls at the longer end. The reason may be the uncertainty existing in the short term with respect to liquidity …
Persistent link: https://www.econbiz.de/10011258422
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A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - Volkswirtschaftliche Fakultät, … - 2013
The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign debt crisis that rapidly spread to the Eurozone’s weakest member states. As the crisis increasingly drove a wedge between a seemingly resilient...
Persistent link: https://www.econbiz.de/10011259850
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Long run performance of IPOs and the role of financial analysts: some French evidence
Boissin, Romain; Sentis, Patrick - Volkswirtschaftliche Fakultät, … - 2010
This paper examines the long run performance of French IPOs carried out between 1991 and 2005. By using various methodologies, we find that IPOs in our sample performed negatively relative to comparison portfolios over the 1991-2005 horizon, unlike prior studies applied to French market. This...
Persistent link: https://www.econbiz.de/10008871208