Search Results - subject:"Finanzderivat"

How do two-way contracts-for-difference affect futures markets? : A novel modelling approach of futures market liquidity

Wagner, Fabian; Jansen, Malte; Kitzing, Lena - 2026

Persistent link: https://www.econbiz.de/10015617521

Determinants of financial hedging strategies among commodity producer firms in Latin America

Giraldo, Carlos; Giraldo, Iader; Huertas, Cristian; … - 2026

Persistent link: https://www.econbiz.de/10015618440

Transformed intermediation : credit risk to nbfis, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Persistent link: https://www.econbiz.de/10015610867

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Transformed intermediation : credit risk to NBFIs, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Book / Working Paper

The impact of financial derivatives on European Bank value and performance

Al-Own, Bassam; Al Shbail, Mohannad Obeid; Jaradat, Zaid; … - 2026

Using a panel dataset of 385 European bank-year observations covering the 2012 to 2022 period, this study aimed to investigate the impact of derivatives on bank value and performance. We used bank-level panel data and conducted several multivariate statistical analyses, i.e., ordinary least...

Persistent link: https://www.econbiz.de/10015615248

Epistemic capital and two-trap growth in the AI era

Nguyen, Manh-Hung - 2026

Persistent link: https://www.econbiz.de/10015614463

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de/10015591116

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de/10015628389

The CDS basis in the European market

Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo - 2026

The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis...

Persistent link: https://www.econbiz.de/10015595089

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de/10015638968

Margins as canaries in the coal mine

Kubitza, Christian; Oehmke, Martin - 2026

Central clearing counterparties (CCPs) manage counterparty risk by requiring clearing members to post margins. This paper explores the role of margins as "canaries in the coal mine:" By inducing defaults of fragile counterparties before contract maturity, margin calls enable CCPs to transfer...

Persistent link: https://www.econbiz.de/10015605599