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Local Political-Turnover-Induced Uncertainty and Bond Market Pricing

Chen, Zhuo; Lu, Andrea; Xiao, Huili; Zhu, Xiaoquan - 2022

Using political turnovers in mayoral appointments at the prefecture-city level in China, we show that investors …

Persistent link: https://www.econbiz.de/10013309717

Dodd-Frank, Securitization, and the Subprime Mortgage Crisis

Hoffman, Stephen P. - 2013

There are few things more constant in life than the rise and fall of financial markets. When markets crash, however, we are forced to restore them while learning from our mistakes. In the wake of the recent subprime mortgage crisis, Congress has drastically but deservedly overhauled the...

Persistent link: https://www.econbiz.de/10013090228

Improved Analytic VaR that Avoids Previous Inconsistencies

Crousillat, Cesar - 2015

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...

Persistent link: https://www.econbiz.de/10013014636

Replication in Financial Economics

Harvey, Campbell R. - 2019

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

Persistent link: https://www.econbiz.de/10012867841

Fintech Supporting Bond Registration, Depository and Settlement System Construction

Zhang, Xin; Tang, Jielong - 2022

Fintech is the application of information technology in the financial sector. In the early days of China’s bond market …

Persistent link: https://www.econbiz.de/10013288894

Striving to Promote CGB Management Towards High-Quality Development

Lou, Hong - 2022

CGB management shoulders a twofold mission: attaining its own high-quality development and promoting the high-quality development of the national economy and society. Proceeding from the course of CGB management, this paper puts forward policy recommendations for the high-quality development of...

Persistent link: https://www.econbiz.de/10013289511

Comparative Analysis on and Implications from Models and Arrangements of Cross-border CSD Links

Ruan, Liyao; Yan, Yanming - 2022

The cross-border central securities depository (CSD) link could facilitate access to China’s bond market and help reach … common law and civil law systems, as well as relevant practices in China. Finally, this paper seeks to propose a basic plan … for the cross-border CSD link in China, and puts forward suggestions from the perspectives of structural arrangements …

Persistent link: https://www.econbiz.de/10013289522

Computerized and High-Frequency Trading

Goldstein, Michael A. - 2014

The use of computers to execute trades, often with very low latency, has increased over time, resulting in a variety of computer algorithms executing electronically targeted trading strategies at high speed. We describe the evolution of increasingly fast automated trading over the past decade...

Persistent link: https://www.econbiz.de/10013060754

Legal protection of investors, corporate governance, and investable premia in emerging markets

Kinsella, Stephen; O'Connor, Thomas; O'Sullivan, Vincent - Geary Institute, University College Dublin - 2011

We examine the interaction between the legal protection of investors, corporate governance within firms, institutional development between countries, and investable premia in emerging markets. In a multi country setting and using a novel dataset we find that better-governed firms experience...

Persistent link: https://www.econbiz.de/10009249165

Value at Risk (VaR) and the alpha-stable distribution

Frain, John C. - Department of Economics, Trinity College Dublin - 2008

Volatility in financial markets is a matter of considerable concern to financial institutions and their supervisors. Already it is clear that this volatility has had an adverse effect on the real economy. Many measures of risk that are used today do not take full account of the kind of extreme...

Persistent link: https://www.econbiz.de/10005729332