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Derivatives and Default Risk
Scholz, Sebastian - 2010
Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...
Persistent link: https://www.econbiz.de/10010427577
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Complete and Incomplete Markets with Short-Sale Constraints
Giménez, Eduardo L. - 2001
This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...
Persistent link: https://www.econbiz.de/10010324858
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Liquidity and real equilibrium interest rates: a framework of analysis
Stracca, Livio - 2005
This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...
Persistent link: https://www.econbiz.de/10011604588
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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Fortiana Gregori, Josep - 2008
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...
Persistent link: https://www.econbiz.de/10011604994
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Social Preferences and Competition
Schmidt, Klaus M. - 2009
There is a general presumption that social preferences can be ignored if markets are competitive. Market experiments (Smith 1962) and recent theoretical results (Dufwenberg et al. 2008) suggest that competition forces people to behave as if they were purely self-interested. We qualify this view....
Persistent link: https://www.econbiz.de/10010334117
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Strategic complementarity, fragility, and regulation
Vives, Xavier - 2011
liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the …
Persistent link: https://www.econbiz.de/10010277386
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Social Preferences and Competition
Schmidt, Klaus M. - 2010
There is a general presumption that social preferences can be ignored if markets are competitive. Market experiments (Smith 1962) and recent theoretical results (Dufwenberg et al. 2008) suggest that competition forces people to behave as if they were purely self-interested. We qualify this view....
Persistent link: https://www.econbiz.de/10010427563
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Understanding systemic risk: The trade-offs between capital, short-term funding and liquid asset holdings
Gauthier, Céline; He, Zhongfang; Souissi, Moez - 2010
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …
Persistent link: https://www.econbiz.de/10010279990
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CoVaR
Adrian, Tobias; Brunnermeier, Markus K. - 2008
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …
Persistent link: https://www.econbiz.de/10010287112
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Quantifying risk and uncertainty in macroeconomic forecasts
Knüppel, Malte; Tödter, Karl-Heinz - 2007
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non … macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained. …
Persistent link: https://www.econbiz.de/10010295862