I use simulated series of buys and sells to test nine different PIN estimation algorithms implemented in SAS, proc NLP. I conclude that the algorithms do a good job estimating PIN, on average, when applied to series generated from high-PIN data generating process (PIN0.2). However, when applied...

An farmer-entrepreneur is considering an investment in Greenhouse Lemon Plantation in Shymkent, Kazakhstan. The case presents investment details and asks the students to perform financial evaluation of the project. Questions ask about building the full capacity at once versus building gradually...

In the event of a clearing member's default, and as part of its default management process, a central counterparty (CCP) will need to hedge the defaulter's portfolio and to close-out its positions. However, the CCP may not be able to do this without incurring additional losses if the market is...

We use proprietary transactional data to examine the determinants of liquidity in the UK government bond (gilt) market, over a rich sample period that covers both the financial crisis of 2008–09 as well as the onset of the subsequent euro-zone sovereign debt crisis. During this period, gilt...

Using supervisory data from UK central counterparties (CCPs), we study a collateral cycle in which market participants raise liquidity in the repo markets to meet CCPs margin calls, before CCPs reinvest the liquidity through reverse repos as well as bond purchases. In the first leg, we find that...