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The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector
Jukonis, Audrius - 2024
Stricter derivative margin requirements have increased the demand for liquid collateral, but euro area investment funds … to meet funds' liquidity needs to cover variation margin calls on derivatives under a range of stress scenarios. The … sufficient liquidity buffers to meet the calls under adverse market shocks. As a result, they are likely to redeem money market …
Persistent link: https://www.econbiz.de/10015058700
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Czech Koruna and Polish Zloty; Spot and Currency Option Volatility Patterns
Morales, Armando Méndez - International Monetary Fund (IMF) - 2001
Exchange rate flexibility has facilitated an impressively fast insertion of the Czech koruna and the Polish zloty into the global currency market. However, exchange rate volatility patterns differ: Lower volatility is observed for the koruna against the euro relative to the U.S. dollar, while...
Persistent link: https://www.econbiz.de/10005826189
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The Derivatives Market in South Africa; Lessons for Sub-Saharan African Countries
Adelegan, Olatundun Janet - International Monetary Fund (IMF) - 2009
This paper examines the role of the derivatives market in South Africa and provides policy options for promoting the development of derivatives markets in sub-Saharan Africa. South Africa's derivatives market has grown rapidly in recent years, supporting capital inflows and helping market...
Persistent link: https://www.econbiz.de/10008528705
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Systemic risk from global financial derivatives : a network analysis of contagion and its mitigation with super-spreader tax
Markose, Sheri M. - 2012
Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation,...
Persistent link: https://www.econbiz.de/10009678940
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Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices.
Chan-Lau, Jorge A - 2006
Intro -- Contents -- I. INTRODUCTION -- II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK -- III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES -- IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS? -- V. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691070
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The Derivatives Market in South Africa
Adelegan, Olatundun Janet - 2009
This paper examines the role of the derivatives market in South Africa and provides policy options for promoting the development of derivatives markets in sub-Saharan Africa. South Africa's derivatives market has grown rapidly in recent years, supporting capital inflows and helping market...
Persistent link: https://www.econbiz.de/10012677864
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Counterparty Risk in the Over-The-Counter Derivatives Market
Singh, Manmohan - 2008
risk is measured by losses to the financial system that may result via the OTC derivative contracts from the default of one … or more banks or primary broker-dealers. We then stress the importance of ""netting"" within the OTC derivative contracts …
Persistent link: https://www.econbiz.de/10012677372
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Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants
Ricci, Luca Antonio - 2008
This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast...
Persistent link: https://www.econbiz.de/10012677569
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The Capital Markets of Emerging Europe : Institutions, Instruments and Investors
Ong, Li - 2008
Emerging European countries have made large strides in developing their local capital markets since the early-1990s. However, the rate of development has been widely disparate across countries and market segments, underpinned by the varying degrees of progress made in key areas such as...
Persistent link: https://www.econbiz.de/10014409027
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Derivative Margin Calls: A New Driver of MMF Flows
Ghio, Maddalena - 2023
' liquidity needs related to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …
Persistent link: https://www.econbiz.de/10015059635