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Optimizing the Compression Cycle : Algorithms for Multilateral Netting in OTC Derivatives Markets
O'Kane, Dominic - 2014
Concerns about the fragility of the financial system caused by the OTC derivatives market has encouraged the increased use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market participants share position information via a third...
Persistent link: https://www.econbiz.de/10013063807
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Exact Utilities Under Alternative Monetary Rules in a Simple Macro Model with Optimizing Agents
Henderson, Dale W.; Kim, Jinill - 2001
We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...
Persistent link: https://www.econbiz.de/10014154210
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Optimal Basket Liquidation for CARA Investors is Deterministic
Schied, Alexander - 2010
We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...
Persistent link: https://www.econbiz.de/10013150407
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On the Computation of LOT Liquidity Measure
Zhao, Wandi - 2016
We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature …
Persistent link: https://www.econbiz.de/10012990817
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Endogenizing Exogenous Default Barrier Models : The MM Algorithm
Forte, Santiago; Lovreta, Lidija - 2012
In this paper we propose a Maximization-Maximization (MM) algorithm for the assessment of hidden parameters in structural credit risk models. Step M1 updates the value, volatility, and expected return on the firm’s assets by maximizing the log-likelihood function for the time series of equity...
Persistent link: https://www.econbiz.de/10014199754
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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …
Persistent link: https://www.econbiz.de/10012932264
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Optimal Order Size in Pro-Rata Markets
Aldridge, Irene - 2014
Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...
Persistent link: https://www.econbiz.de/10013061277
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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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The Choice of a Monetary Policy Reaction Function in a Simple Optimizing Model
Henderson, Dale W.; Kim, Jinill - 1998
Monetary policy reaction functions are compared in a simple optimizing model with one-period nominal stickiness, i.i.d. shocks, and no capital accumulation. The interest rate is the instrument and is either kept constant, "interest rate targeting" for short, or used in targeting one of the...
Persistent link: https://www.econbiz.de/10014067220
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Liquidity commonality and its causes : evidence from the Korean stock market
Cho̕e, Hyuk; Yang, Cheol-won - In: Asia-Pacific journal of financial studies 39 (2010) 5, pp. 626-658
Persistent link: https://www.econbiz.de/10009231511