VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

In recent years, U.S. government entities have become increasingly active as commercial participants in corporate restructurings by providing rescue loans when private market funding is unavailable. Like private lenders, the government can effectively control the operations of distressed...

We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that the CRT programs have been successful in reducing the...

This paper examines the impact of cybercrime and hacking events on equity market volatility across publicly traded corporations. The volatility influence of these cybercrime events is shown to be dependent on the number of clients exposed across all sectors and the type of the cyber security...

Mutual funds stand ready at all times to sell and redeem common stock to the investing public for the net value of their assets under management. In the language of transaction cost economics, they are open-access common pools subject to virtually free investor entry and exit. The Investment...

This Article argues for a new regulatory approach that could both increase market efficiency and protect informational privacy in the modern information economy. It explores that approach - information intermediation, or infomediation - in the context of the current debates about re-engineering...

This paper examines whether the opportunistic use of assets securitization for earnings management is systematically widespread. It is hypothesized that with the passage of the Sarbanes-Oxley Act of 2002, which imposed more stringent governance over the financial reporting process, there should...

Written for undergraduate and graduate students of finance, economics and business, the fourth edition of Financial Markets and Institutions provides a fresh analysis of the European financial system. Combining theory, data and policy, this successful textbook examines and explains financial...

In this study, I analyze the effect of central clearing on market liquidity in the CDS market. This study extends existing literature by using semi-parametric and non-parametric regression discontinuity designs (RDD) in order to isolate the effect of central clearing on measures of market...

We study the effect of central clearing on netting efficiency in the CDS market. We examine the development of position data and netting efficiency using aggregate data from the Depository Trust and Clearing Corporation (DTCC). Our main finding is that gross outstanding positions in cleared...