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Derivative Margin Calls : A New Driver of MMF Flows

Ghio, Maddalena; Rousová, Linda; Salakhova, Dilyara; … - 2023

’ liquidity needs re-lated to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …

Persistent link: https://www.econbiz.de/10014355985

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10013316627

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Persistent link: https://www.econbiz.de/10011604905

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10011604956

Evaluating Market Risk from Leveraged Derivative Exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10013491644

The Impact of Derivatives Collateralisation on Liquidity Risk : Evidence from the Investment Fund Sector

Jukonis, Audrius; Letizia, Elisa; Rousová, Linda - 2022

Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds …

Persistent link: https://www.econbiz.de/10014237692

Uncovering the Network Structure of Non-Centrally Cleared Derivative Markets : Evidences from Regulatory Data

Zema, Sebastiano Michele - 2022

The network structure of non-centrally cleared derivative markets, uncovered via the European Market Infrastructure … derivative network is found to be ultrasmall and a filtering tool is proposed to identify channels in the network characterized … no break of confidentiality, making possible to simulate in a realistic way the liquidity dynamic in global derivative …

Persistent link: https://www.econbiz.de/10014239727

Interdependencies in the Euro Area Derivatives Clearing Network : A Multi-Layer Network Approach

Rosati, Simonetta - 2020

The global nature of derivatives markets, and the presence of large key financial institutions trading in several markets across the globe, call for taking a “macro” view on the interconnections arising in the clearing network. Based on the analysis of derivatives transactions data reported...

Persistent link: https://www.econbiz.de/10012844618

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...

Persistent link: https://www.econbiz.de/10012422114

Risk and Return in International Corporate Bond Markets

De Santis, Roberto A. - 2020

Persistent link: https://www.econbiz.de/10012825946