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Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - 2018

Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter. We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called...

Persistent link: https://www.econbiz.de/10011906506

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

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

A Generic Multi-Factor Model for Commodity Derivatives

Lee, David - 2022

Since commodity derivatives typically trade by futures (a.k.a. forwards), there is a need to model the dynamics of the …

Persistent link: https://www.econbiz.de/10013492306

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

Loss sharing in central clearinghouses : winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023

Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...

Persistent link: https://www.econbiz.de/10014482946

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

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10003839259

Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) : eine simulationsgestützte Analyse

Gann, Philipp - 2009

Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich...

Persistent link: https://www.econbiz.de/10003861125

Modeling default dependence with threshold models

Overbeck, Ludger; Schmidt, Wolfgang M. - 2003

We investigate the problem of modeling defaults of dependent credits. In the framework of the class of structural default models we study threshold models where for each credit the underling ability-to-pay process is a transformation of a Wiener processes. We propose a model for dependent...

Persistent link: https://www.econbiz.de/10003853455