Basically, shadow banking is an original kind of business organization, or better a set of institutions and markets, finalized to disinvest fixed assets and convey them to the financial markets. Nowadays, tackling the subject means penetrating the hard core of financialization. Shadow banking...

Transformation erfordert die Veränderungen von Institutionen und die Öffnung von Finanzmärkten. Allerdings gelten zehn Jahre nach Beginn der Transformation Institutionen und die Funktionsweise der Finanzmärkte noch immer als Problemfelder der Reformen in Mittel- und Osteuropa. Damit werden...

For the past decade, the U.S. economy has been driven not by industrial investment but by a real estate bubble. Although the United States may seem to be the leading example of industrial capitalism, its economy is no longer based mainly on investing in capital goods to employ labor to produce...

This paper develops an empirical cost of carry model with endogenously conditioned convenience yield. The approach is implemented using monthly prices of all futures contracts traded at the New York Mercantile Exchange between 1985 and 2006. Tests indicate that the model fits the data extremely...

In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks

This paper reviews key policy messages and warnings about developments in the run-up to the global financial and economic crisis that began in mid-2007 which are contained in the main publications of the IMF, the OECD and the BIS and discuss issues relevant to strengthening their surveillance...

In this paper we elaborate on what is commonly referred to as the Skew Delta of a Variance Swap, i.e. the sensitivity of the fair strike of a variance swap relative to moves in the underlying's spot price. In particular we examine whether or not a pure variance product such as a variance swap...

The temporal relation between stock index and Index futures has been and continues to be of interest of regulators, academicians and practitioners alike for a number of reasons such as market efficiency volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not...

Since five years now, the financial crisis dominates the EU agenda. What started as the tail of the US subprime crisis turned into a “systemic” issue with the freezing of the wholesale funding market subsequent to Lehman Brothers' filing for Chapter 11 protection on September 15, 2008 (at...