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Loss sharing in central clearinghouses: Winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2021

Central clearing counterparties (CCPs) were created to reduce default losses for market participants in derivatives …

Persistent link: https://www.econbiz.de/10012440474

Imperfect competition in derivatives markets

Brinkmann, Christina - 2022 - This version: March 20, 2022

Since the push towards central clearing in derivatives markets after the global financial crisis, an open question has … been how the development has affected competition. This paper models imperfect competition between dealers in derivatives … markets. Two risk-neutral dealers offer derivatives to risk-averse clients with a hedging need, and compete in price (fee) and …

Persistent link: https://www.econbiz.de/10013163197

Volmageddon and the failure of short volatility products

Augustin, Patrick; Cheng, Ing-Haw; Van den Bergen, Ludovic - 2021

The rapid growth of exchange traded products (ETPs) has raised concerns about their implications for financial stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we describe this “Volmageddon” event and illustrate the...

Persistent link: https://www.econbiz.de/10012585893

Loss sharing in central clearinghouses: winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2021 - This version: February 16, 2021

Central clearing counterparties (CCPs) were created to reduce default losses for market participants in derivatives …

Persistent link: https://www.econbiz.de/10012438426

A tale of four tails : inflation, the policy rate, longer-term rates, and stock prices

Anene, Dominic; D'Amico, Stefania - 2017

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

Persistent link: https://www.econbiz.de/10011774934

Asset management in volatile markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Persistent link: https://www.econbiz.de/10011705329

Hedging costs and joint determinants of premiums and spreads in structured financial products

Entrop, Oliver; Fischer, Georg - 2019

This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...

Persistent link: https://www.econbiz.de/10011960799

How dynamic hedging affects stock price movements : evidence from German option and certificate markets

Fischer, Georg - 2019

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...

Persistent link: https://www.econbiz.de/10011960804

Compressing over-the-counter markets

D'Errico, Marco; Roukny, Tarik - 2017

derivatives including all firms based in the European Union. On average, we find that around 75% of market gross notional relates …

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

Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options

Féron, Olivier; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012

We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound autoregressive (or affine) stochastic processes. We show that...

Persistent link: https://www.econbiz.de/10010861561