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Market Manipulation Schemes at Option Expiration
Danger, Ken - 2020
This paper discusses market manipulation schemes on option expiration dates. We show that under ordinary circumstances, writers, but not holders, would have an incentive to manipulate the expiration of standard options, but both are incentivized to manipulate cash-settled options. Using our...
Persistent link: https://www.econbiz.de/10012843837
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Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Arismendi-Zambrano, Juan - 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
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A Crude Estimation of XVA Sensitivities
Alavian, Shahram - 2019
This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...
Persistent link: https://www.econbiz.de/10012895059
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Price Impact of Block Trades : The Curious Case of Downstairs Trading in the EU Emissions Futures Market
Ibikunle, Gbenga - 2016
the trading day than during the first or final hours. Purchase block trades induce relatively smaller price impact on … induce less price impact than in equity or conventional futures markets, and that a significant proportion of the effects … contradict findings on block trades in those markets; thus we provide the first evidence of the curious bent to block trading in …
Persistent link: https://www.econbiz.de/10013008462
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2015
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between...
Persistent link: https://www.econbiz.de/10013038170
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-Wide Government Guarantees
Kelly, Bryan T. - 2015
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between...
Persistent link: https://www.econbiz.de/10013038266
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Futures Friendly Derivatives : A Fix for the OTC Derivatives Mess, Replacing the Government’s $ 1 Trillion Subsidy of Large Bank Dealing
Dew, James Kurt - 2015
This note presents an easily implemented, inexpensive, private sector innovation, a futures-friendly derivative (FFD … futures contract. Perhaps, if successful, it will ultimately end OTC CCP's systemically important classification, reducing our …
Persistent link: https://www.econbiz.de/10013022286
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Trading and Information in Futures Markets
Llorente, Guillermo - 2019
This paper studies the trading behavior of different types of traders in commodity futures and their impact on … most of the intraday volume. Most of the interday trading and position taking come from groups CTI2 and CTI3, reflecting …
Persistent link: https://www.econbiz.de/10012904284
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Pricing Contingent Convertibles : A Derivatives Approach
De Spiegeleer, Jan - 2019
This article provides an in-depth analysis of pricing and structuring of contingent convertibles (CoCos). These debt instruments convert into the equity of the issuing bank or suffer a write-down of the face value upon the appearance of a trigger event. This trigger mechanism provides an...
Persistent link: https://www.econbiz.de/10012905917
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The Role of Financial Investors in Determining the Commodity Futures Risk Premium
Isleimeyyeh, Mohammad - 2020
clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is … market on the energy market became significantly greater for the futures risk premium in the period following the 2008 crisis …. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances …
Persistent link: https://www.econbiz.de/10012851801