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Capital requirements for over-the-counter derivatives central counterparties

Lin, Li; Surti, Jay - In: Journal of Banking & Finance 52 (2015) C, pp. 140-155

This paper assesses the sensitivity of the risk buffers, or capital requirements, of central counterparties clearing over-the-counter derivatives trades to a range of model inputs. It finds capital requirements to be highly sensitive to whether key model parameters are calibrated on a...

Persistent link: https://www.econbiz.de/10011209849

The Italian Financial System

Consolandi, Costanza; Gabbi, Giampaolo; Matthias, Massimo; … - Financialisation, Economy, Society & Sustainable … - 2013

Persistent link: https://www.econbiz.de/10010741341

Stability of funding models: an analytical framework

Eisenbach, Thomas M.; Keister, Todd; McAndrews, James Joseph - In: Economic Policy Review (2014) Feb, pp. 29-47

-sheet characteristics, such as its leverage, the maturity structure of its debt, and the liquidity and riskiness of its asset portfolio …. They also show how the framework can be applied to examine current policy issues, including liquidity requirements …

Persistent link: https://www.econbiz.de/10011027147

Low-latency trading

Hasbrouck, Joel; Saar, Gideon - In: Journal of Financial Markets 16 (2013) 4, pp. 646-679

We define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by high-frequency traders though it could include other algorithmic activity as well. We propose a new measure of low-latency activity to investigate the...

Persistent link: https://www.econbiz.de/10011047534

Money in motion: Dynamic portfolio choice in retirement

Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - Center for Financial Studies - 2007

equity premium and longevity insurance in her retirement portfolio. Even without bequests, she will not fully annuitize …

Persistent link: https://www.econbiz.de/10010958527

The effects of relative performance objectives on financial markets

Igan, Deniz; Pinheiro, Marcelo - Volkswirtschaftliche Fakultät, … - 2012

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark. In the presence of such relative-performance-based objectives, investors have reduced expected utility but markets are typically more informative and deeper....

Persistent link: https://www.econbiz.de/10011108017

Commonality in hedge fund returns: Driving factors and implications

Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - In: Journal of Banking & Finance 54 (2015) C, pp. 266-280

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

Persistent link: https://www.econbiz.de/10011264657

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

Persistent link: https://www.econbiz.de/10011084210

The Dynamics of Financially Constrained Arbitrage

Gromb, Denis; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2015

, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that … markets, liquidity in each market generally becomes less volatile, but the reverse may hold for aggregate liquidity because of …

Persistent link: https://www.econbiz.de/10011184076

Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index

De Winne, Rudy; Gresse, Carole; Platten, Isabelle - Université Paris-Dauphine (Paris IX) - 2014

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the … underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to … those of non-index stocks, after the introduction of the ETF but this liquidity improvement is not driven by changes in …

Persistent link: https://www.econbiz.de/10010861453