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Central Clearing of OTC Derivatives : Bilateral vs Multilateral Netting
Cont, Rama - 2013
We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is...
Persistent link: https://www.econbiz.de/10013085146
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Expansion of Central Clearing
Heller, Daniel - 2014
already have sufficient unencumbered assets to meet initial margin requirements, but that a few may need to increase their … cash holdings to meet variation margin calls in a timely way. We also find that the potential costs of individual or … long as CCPs factor into initial margin requirements the extent of tail risk and time variation in risk of different types …
Persistent link: https://www.econbiz.de/10013067872
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Changing Post-Trading Arrangements for OTC Derivatives
Upper, Christian - 2013
The post-trading infrastructure of OTC derivatives markets has not always kept up with the rapid growth in trading volumes. Recent years have seen some initiatives that seek to introduce multilateral elements that facilitate flows of information between market participants while preserving the...
Persistent link: https://www.econbiz.de/10013095284
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Central clearing and collateral demand
Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of financial economics 116 (2015) 2, pp. 237-256
Persistent link: https://www.econbiz.de/10011348524
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Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?
Orłowski, Lucjan T. (contributor) - 2008
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...
Persistent link: https://www.econbiz.de/10003790529
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Empirische Analyse der Drawdowns von Dach-Hedgefonds
Heidorn, Thomas (contributor); Kaiser, Dieter G. (contributor) - 2009
Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF....
Persistent link: https://www.econbiz.de/10003796083
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Venture capital and internationalization
Schertler, Andrea; Tykvová, Tereza - 2009
Cross-border investments represent a substantial share of venture capital activities. We use a new and comprehensive dataset on worldwide investments to analyze the internationalization of venture capital financing. Our results from the perspectives of (i) venture capitalists, (ii) portfolio...
Persistent link: https://www.econbiz.de/10003881576
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Systematic risk of CDOs and CDO arbitrage
Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009
"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...
Persistent link: https://www.econbiz.de/10003891104
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
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The end of gatekeeping : underwriters and the quality of sovereign bond markets, 1815 - 2007
Flandreau, Marc; Flores Zendejas, Juan; Gaillard, Norbert; … - 2009
We provide a comparison of salient organizational features of primary markets for foreign government debt over the very long run. We focus on output, quality control, information provision, competition, pricing, charging and signaling. We find that the market set up experienced a radical...
Persistent link: https://www.econbiz.de/10003891901