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Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Biais, Bruno - 2012

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can … address the market failure caused by unregulated trading of hedging contracts among protection sellers …

Persistent link: https://www.econbiz.de/10013113017

Evaluating Market Risk from Leveraged Derivative Exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10013491644

Tail Co-Movement in Inflation Expectations as an Indicator of Anchoring

Natoli, Filippo - 2017

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onward when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...

Persistent link: https://www.econbiz.de/10012963936

Interdependencies in the Euro Area Derivatives Clearing Network : A Multi-Layer Network Approach

Rosati, Simonetta - 2020

The global nature of derivatives markets, and the presence of large key financial institutions trading in several markets across the globe, call for taking a “macro” view on the interconnections arising in the clearing network. Based on the analysis of derivatives transactions data reported...

Persistent link: https://www.econbiz.de/10012844618

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10013316627

Cross-border diversification in bank asset portfolios

Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - 2005

located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these …

Persistent link: https://www.econbiz.de/10011604475

How and when do markets tip? Lessons from the Battle of the Bund

Cantillon, Estelle; Yin, Pai-Ling - 2007

In a famous episode of financial history which lasted over eight years, the market for the future on the Bund moved entirely from LIFFE, a London-based derivatives exchange, to DTB, a Frankfurt-based exchange. This paper studies the determinants of the observed dynamics, using a novel panel...

Persistent link: https://www.econbiz.de/10011604812

Mending the broken link: heterogeneous bank lending and monetary policy pass-through

Altavilla, Carlo; Canova, Fabio; Ciccarelli, Matteo - 2016

We analyse the pass-through of monetary policy measures to lending rates to firms and households in the euro area using a unique bank-level dataset. Bank balance sheet characteristics such as the capital ratio and the exposure to sovereign debt are responsible for the heterogeneity of...

Persistent link: https://www.econbiz.de/10011606023

Mending the Broken Link : Heterogeneous Bank Lending and Monetary Policy Pass-Through

Altavilla, Carlo - 2017

Persistent link: https://www.econbiz.de/10012963918

Security fungibility and the cost of capital: evidence from global bonds

Miller, Darius P.; Puthenpurackal, John J. - 2005

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...

Persistent link: https://www.econbiz.de/10011604472

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