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An analysis of CDS transactions : implications for public reporting
Chen, Kathryn; Fleming, Michael J.; 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/10009347979
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Understanding Mortgage Spreads
Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014
Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...
Persistent link: https://www.econbiz.de/10010404146
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The law of one price in equity volatility markets
Van Tassel, Peter - 2020
stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market …
Persistent link: https://www.econbiz.de/10012391498
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An analysis of OTC interest rate derivatives transactions : implications for public reporting
Fleming, Michael J.; 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/10009528779
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Risk-neutral systemic risk indicators
Malz, Allan Martin - 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/10009725591
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A simple and reliable way to compute option-based risk-neutral distributions
Malz, Allan Martin - 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/10010404081
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Policy perspectives on OTC derivatives market infrastructure
Duffie, Darrell; Li, Ada; Lubke, Theodore J. - 2010 - Rev.
counterparty ; centralized data repository ; collateral management ; electronic trading platform ; exchange ; market transparency …
Persistent link: https://www.econbiz.de/10003948230
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The effect of the term auction facility on the London inter-bank offered rate
McAndrews, James Joseph (contributor);  … - 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/10003781580
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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/10010393220
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The netting efficiencies of marketwide central clearing
Fleming, Michael J.; Keane, Frank - 2021
of Treasury securities, which might better enable dealers to intermediate large customer trading flows. We assess the … trading was at its highest. We also find that expanded central clearing would have substantially lowered settlement fails. The …
Persistent link: https://www.econbiz.de/10012511397