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Why Do Financial Intermediaries Buy Put Options from Companies?
Gyoshev, Stanley; Kaplan, Todd R.; Szewczyk, Samuel; … - 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/10015234970
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Why Do Financial Intermediaries Buy Put Options from Companies?
Gyoshev, Stanley; Kaplan, Todd R.; Szewczyk, Samuel; … - 2013
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/10015235225
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Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers
Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020
Textual analysis of the NBER Working Papers published during 1999–2016 is done to assess the effects of the 2007–2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics,...
Persistent link: https://www.econbiz.de/10015266578
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Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers
Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020
Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...
Persistent link: https://www.econbiz.de/10015266597
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Default Forecasting and Credit Valuation Adjustment
Lee, David - 2023
Credit valuation adjustment has acquired a great deal of attention from both theoreticians and practitioners in recent years. This paper presents a model for default forecasting and credit valuation adjustment. The model links distance-to-default, default probability, survival probability,...
Persistent link: https://www.econbiz.de/10015270706
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - 2013
The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications,...
Persistent link: https://www.econbiz.de/10015246741
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Why Do Financial Intermediaries Buy Put Options from Companies?
Gyoshev, Stanley; Kaplan, Todd R.; Szewczyk, Samuel; … - 2016
Companies have collected billions in premiums from privately sold put options written on their own stock, yet almost all of these puts expired worthless and their owners lost money as a result. Although these losses seem puzzling, we model how by offering to buy put options from better informed...
Persistent link: https://www.econbiz.de/10015251075
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The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - 2008
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As … which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …, it is equally recognised that derivative markets present market participants and regulators with different and complex …
Persistent link: https://www.econbiz.de/10015264354
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Performance metrics for algorithmic traders
Rosenthal, Dale W.R. - 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/10015230714
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Performance metrics for algorithmic traders
Rosenthal, Dale W.R. - 2012
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/10015230792