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(In)efficient repo markets
Dieler, Tobias; Mancini, Loriano; Schürhoff, Norman - 2021
Repo markets trade off the efficient allocation of liquidity in the financial sector with resilience to funding shocks. The repo trading and clearing mechanisms are crucial determinants of the allocation-resilience tradeoff. The two common mechanisms, anonymous central-counterparty (CCP) and...
Persistent link: https://www.econbiz.de/10012487590
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Crash risk in individual stocks
Pederzoli, Paola - 2018
This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …
Persistent link: https://www.econbiz.de/10011899675
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Short selling regulation after the financial crisis : first principles revisited
Grünewald, Seraina Neva; Wagner, Alexander F.; Weber, … - 2009
This article examines the recent regulatory developments with regard to short selling. Short selling regulation is an important factor in firm governance because it affects the way in which firms are subject to market discipline. We begin with a comprehensive compilation of emergency...
Persistent link: https://www.econbiz.de/10003970469
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Taming manias: on the origins, inevitability, prediction and regulation of bubbles and crashes
Satinover, Jeffrey; Sornette, Didier - 2010
Chapter Summary: We consider the recent financial crisis as an overlapping sequence of interdependent financial bubbles followed by their collapse. Governments and regulatory agencies have made it a prime goal to moderate future crises. Many attempts at financial, economic and social engineering...
Persistent link: https://www.econbiz.de/10008797062
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CDS central counterparty clearing default measures : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2020
themselves. In turn, the adoption of a risk-sharing guarantee fund structure would provide a natural disciplinary mechanism for …
Persistent link: https://www.econbiz.de/10012419635
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How market intervention can prevent bubbles and crashes
Westphal, Rebecca; Sornette, Didier - 2020
investors as measured by their risk-adjusted return, increasing the Sharpe ratios from approximately 0.3 to 0.5 for noise …
Persistent link: https://www.econbiz.de/10012271219
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Systemic risk in networks with a central node
Amini, Hamed; Filipović, Damir; Minca, Andreea - 2020
a structural systemic risk measure that captures the shortfall of end users. We show that it is possible to …
Persistent link: https://www.econbiz.de/10012180475
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has rendered the latter a systemically important institution, whose failure poses a serious threat to global financial stability. This work investigates the potential failure of a...
Persistent link: https://www.econbiz.de/10011870658
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Repo rates and the collateral spread : evidence
Nyborg, Kjell G.; Rösler, Cornelia - 2019
The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained-arbitrage relation between the unsecured rate, the repo rates, and the...
Persistent link: https://www.econbiz.de/10011976992
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Repo rates and the collateral spread puzzle
Nyborg, Kjell G. - 2019
Repo rates frequently exceed unsecured rates in practice. As an explanation, this paper derives a constrained-arbitrage relation between the unsecured rate, the repo rate, and the illiquidity adjusted expected rate of return of the underlying collateral. The theory is based on unsecured...
Persistent link: https://www.econbiz.de/10011976995