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Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash
Bates, David; Craine, Roger - National Bureau of Economic Research (NBER) - 1998
Futures market clearinghouses are intermediaries that make large volume trading between anonymous parties feasible. During the October 1987 market crash rumors spread that a major clearinghouse might fail. This paper presents estimates of three measures of the default exposure on the popular...
Persistent link: https://www.econbiz.de/10005714503
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Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash.
Bates, David; Craine, Roger - In: Journal of Money, Credit and Banking 31 (1999) 2, pp. 248-72
Futures market clearinghouses are intermediaries that make large volume trading between anonymous parties feasible. During the market crash in October 1987, rumors spread that a clearinghouse might fail. This paper presents estimates of three measures of the default exposure. The authors...
Persistent link: https://www.econbiz.de/10005813783
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VALUING THE FUTURES MARKET CLEARINGHOUSE'S DEFAULT EXPOSURE DURING THE 1987 CRASH
Bates, David; Craine, Roger - 1998
Persistent link: https://www.econbiz.de/10006993763
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ARTICLES - Valuing the Futures Market Clearinghouse' s Default Exposure during the 1987 Crash
Bates, David; Craine, Roger - In: Journal of money, credit and banking : JMCB 31 (1999) 2, pp. 248-272
Persistent link: https://www.econbiz.de/10006666876
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Exchange rate regime credibility, the agency cost of capital and devaluation
Craine, Roger - 1999
Persistent link: https://www.econbiz.de/10001362942
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Forecasting, adjustment costs, and factor demands : or the empror's clothes
Craine, Roger - 1972
Persistent link: https://www.econbiz.de/10002031501
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Investment, adjustment costs, and uncertainty
Craine, Roger - In: International economic review 16 (1975) 3, pp. 648-661
Persistent link: https://www.econbiz.de/10002031517
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On the service flow from labour
Craine, Roger - In: The review of economic studies 40 (1973) 1, pp. 39-46
Persistent link: https://www.econbiz.de/10002031542
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Optimal control of a macroeconomic model with estimated coefficients
Craine, Roger; Havenner, Arthur - 1976
Persistent link: https://www.econbiz.de/10002031561
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Optimal distribution lage responses and expectations
Craine, Roger - In: The American economic review 61 (1971) 5, pp. 916-924
Persistent link: https://www.econbiz.de/10002031566