Narrow search
Showing 1 - 10 of 129
Cover Image
An analysis of OTC interest rate derivatives transactions: Implications for public reporting
Fleming, Michael; Jackson, John; Li, Ada; Sarkar, Asani; … - 2012
post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the … composition of market participants, levels of product standardization, and market-making behavior. We find that trading activity …
Persistent link: https://www.econbiz.de/10010287160
Cover Image
A simple and reliable way to compute option-based risk-neutral distributions
Malz, Allan M. - 2014
This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage...
Persistent link: https://www.econbiz.de/10011340971
Cover Image
Risk-neutral systemic risk indicators
Malz, Allan M. - 2013
This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The indicators represent a systemic risk event as the realization of...
Persistent link: https://www.econbiz.de/10010333576
Cover Image
Y2K options and the liquidity premium in treasury bond markets
Sundaresan, Suresh; Wang, Zhenyu - 2006
Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to concerns about this liquidity shortage, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right...
Persistent link: https://www.econbiz.de/10010283316
Cover Image
LIBOR: Origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to …
Persistent link: https://www.econbiz.de/10011340948
Cover Image
Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael; Nguyen, Giang - 2013
This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles …, and higher trading intensity. Collectively, the evidence suggests that workups tend to be used more as a channel for …
Persistent link: https://www.econbiz.de/10010333609
Cover Image
Dealer balance sheets and bond liquidity provision
Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2016
bond are more levered, have higher trading revenue, have higher liquidity mismatch, are more vulnerable, have lower risk …
Persistent link: https://www.econbiz.de/10011796446
Cover Image
The effect of the term auction facility on the London inter-bank offered rate
McAndrews, James; Sarkar, Asani; Wang, Zhenyu - 2008
This paper examines the effects of the Federal Reserve's Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association...
Persistent link: https://www.econbiz.de/10010283503
Cover Image
An analysis of CDS transactions: Implications for public reporting
Chen, Kathryn; Fleming, Michael; Jackson, John; Li, Ada; … - 2011
scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap … (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find … that trading activity in the CDS market is relatively low, with a majority of reference entities for single-name CDS …
Persistent link: https://www.econbiz.de/10010287058
Cover Image
Market declines: is banning short selling the solution?
Battalio, Robert; Mehran, Hamid; Schultz, Paul - 2011
In response to the sharp decline in prices of financial stocks in the fall of 2008, regulators in a number of countries banned short selling of particular stocks and industries. Evidence suggests that these bans did little to stop the slide in stock prices, but significantly increased costs of...
Persistent link: https://www.econbiz.de/10010287096