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Substitution Costs in Managed Synthetic CDOs

O'Kane, Dominic - 2013

Managed synthetic CDOs permit the dynamic substitution of credits in the reference portfolio. The expectation of investors in is that a skilled manager should be able to identify deteriorating credits before they experience a credit event and should therefore be able to remove the credit from...

Persistent link: https://www.econbiz.de/10013072231

Implicit Entropic Market Risk-Premium from Interest Rate Derivatives

Arismendi Zambrano, Juan Carlos - 2020

Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...

Persistent link: https://www.econbiz.de/10012828071

Compressing over-the-counter markets

D'Errico, Marco; Roukny, Tarik - 2017

original trading relationships. Third, we apply our framework to a unique and comprehensive transaction-level dataset on OTC …

Persistent link: https://www.econbiz.de/10011976943

Do Position Limits on Futures Trading Benefit Commodity Markets?

Chen, Wen; Hu, Bo; Wang, Yajun - 2022

We develop a model to study the impacts of speculative position limits in commodity futures market. In the spirit of … Dodd-Frank Act, regulators believe that position limit on speculators would dampen futures price volatility and prevent … market manipulation. We show that this is not true due to two unintended consequences of this trading rule. First, the …

Persistent link: https://www.econbiz.de/10014235601

Cash CVA -- Credit Valuation Adjustment in the Cash Form

Lou, Wujiang - 2021

liquid following massive dealer-bank exit from CDS trading business post the Financial Crisis of 2007-2008, while bond … liquidity has significantly improved due to advances in corporate bond electronic trading …

Persistent link: https://www.econbiz.de/10013230524

The pitfalls of central clearing in the presence of systematic risk

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding of the benefits and potential pitfalls with respect...

Persistent link: https://www.econbiz.de/10011923506

The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

Xiao, Tim - 2019

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...

Persistent link: https://www.econbiz.de/10012864519

Credit Migration Derivatives : Modelling of the Underlying Credit Migration Matrices

Andersson, Andreas - 2008

In this thesis I develop a model for describing the dynamic behavior of Credit Migration Matrices under a Point-in-time Rating Philosophy. Characteristics of the yearly Migration Matrices following a Point-in-Time Philosophy are presented. Through the introduction of the concept of Rating...

Persistent link: https://www.econbiz.de/10014214264

Notional Value Effect in Futures Markets

Athanasiadis, Theo - 2021

We examine how the notional value of futures contracts predicts the cross-section of returns within the major asset … classes tracking a large number of futures contracts. We find that low notional value contracts outperform high notional value …

Persistent link: https://www.econbiz.de/10013250560

Futures Market Approach to Understanding Equity Premium Puzzle

Kim, Bryce - 2016

essentially trading labor with future goods, it is inevitable that risk-free bonds have lower interest rate than ideal risk …

Persistent link: https://www.econbiz.de/10012996101