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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

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

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

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

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

Analysis into IPO underpricing and clustering in Hong Kong equity market

Qiao, Yongyuan - Volkswirtschaftliche Fakultät, … - 2008

liquidity than industry specific risk characteristics. …

Persistent link: https://www.econbiz.de/10005789232

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

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

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

The aftermarket pricing performance of initial public offers: Insights from India

Reddy, K. Srinivasa - Volkswirtschaftliche Fakultät, … - 2011

Purpose: The purpose of this paper is to examine the underpricing of initial public offers (IPOs), which were announced by Indian firms for the period 2007 through 2009. It is motivated by the fact that a well-developed capital market is a function of economic growth and a reflection of the...

Persistent link: https://www.econbiz.de/10011210490