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Long Memory in the Ukrainian Stock Market and Financial Crises

Caporale, Guglielmo Maria - 2014

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...

Persistent link: https://www.econbiz.de/10013046301

Why and how to integrate liquidity risk into a VaR-framework

Stange, Sebastian; Kaserer, Christoph - 2008

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...

Persistent link: https://www.econbiz.de/10010305731

Financial transactions taxes

Shome, Parthasarathi - 2011

This paper attempts to address both theoretical and practical considerations for a tax such as financial transactions taxes (FTT). It includes examples of FTT in the wider context, for example, on stocks and derivatives, currency transactions, and tangible property. Most of the discussion...

Persistent link: https://www.econbiz.de/10011807660

Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?

Kerbl, Stefan - 2011

stylised facts of asset returns like fat tails and clustered volatility. Introducing regulatory measures shows that only a … mandatory risk limit is beneficial from every perspective, while a short selling ban – though reducing volatility – increases … tail risk. The contrary holds true for a Tobin Tax: it reduces the occurrence of crashes but increases volatility …

Persistent link: https://www.econbiz.de/10013370091

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014480354

Market Liquidity Risk - An Overview

Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10005870300

Measuring Market Liquidity Risk - Which Model Works Best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10005870304

Accounting for Non-Normality in Liquidity Risk

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...

Persistent link: https://www.econbiz.de/10005870319

New instruments for banking regulation and monetary policy after the crisis

Detzer, Daniel - 2012

This paper analyzes two instruments - asset-based reserve requirements put forward by Thomas Palley and asset-based capital requirements proposed by Charles Goodhart and Avinash Persaud - regarding their merits in reducing excessive asset price inflation. A theoretical framework of asset pricing...

Persistent link: https://www.econbiz.de/10010309122

Does SOFR-linked debt cost borrowers more than LIBOR-linked debt?

Klingler, Sven; Syrstad, Olav - 2023

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...

Persistent link: https://www.econbiz.de/10014551704