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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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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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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...
Persistent link: https://www.econbiz.de/10011107583
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Loss Given Default Modelling: Comparative Analysis
Yashkir, Olga; Yashkir, Yuriy - Volkswirtschaftliche Fakultät, … - 2013
In this study we investigated several most popular Loss Given Default (LGD) models (LSM, Tobit, Three-Tiered Tobit, Beta Regression, Inflated Beta Regression, Censored Gamma Regression) in order to compare their performance. We show that for a given input data set, the quality of the model...
Persistent link: https://www.econbiz.de/10011108554
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The causal effect of venture capital backing on the underpricing of Italian IPOs
Pennacchio, Luca - Volkswirtschaftliche Fakultät, … - 2013
This paper analyses the role of venture capitalists in Italian Initial Public Offerings (IPOs). Between 1999 and 2012 venture capital backed IPOs are on average less underpriced than non-venture backed IPOs. By using both a matching and a regression-based approach to account for the non-random...
Persistent link: https://www.econbiz.de/10011108560
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Orphan versus non-orphan IPOs: the difference analyst coverage makes
Boissin, Romain - Volkswirtschaftliche Fakultät, … - 2012
This paper addresses the question of the importance of analyst coverage for the long-run returns of IPO firms over the period from 1991 to 2010. In US IPOs, during the one- to five-year horizon, we find a significant long-run abnormal performance by orphans (IPOs without analyst coverage)...
Persistent link: https://www.econbiz.de/10011109351
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Share repurchases, signaling effect and implications for corporate governance: Evidence from India
Reddy, Kotapati Srinivasa; Nangia, Vinay Kumar; … - Volkswirtschaftliche Fakultät, … - 2013
It is worth mentioning that a great deal of financial liberalization, privatization and internationalization policies in emerging economies have significantly increased the corporate restructuring activities like mergers, acquisitions, share repurchases, and stock splits, among others. Indeed,...
Persistent link: https://www.econbiz.de/10011110702