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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - 2008

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

Persistent link: https://www.econbiz.de/10015221188

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - 2011

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

Persistent link: https://www.econbiz.de/10015234378

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - 2012

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

Persistent link: https://www.econbiz.de/10015234379

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - 2012

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

Persistent link: https://www.econbiz.de/10015235487

A New Model for Pricing Collateralized Financial Derivatives

Xiao, Tim - 2017

This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for …

Persistent link: https://www.econbiz.de/10015260523

Should Central Banks Take On Credit-Risk?

Gomez-Ruano, Gerardo - 2014

Central banks have a long tradition of minimizing their exposure to credit-risk. The Federal Reserve’s response to the recent financial crisis, which entailed greater risk-taking, has raised the question of whether such ‘unusual’ practices are desirable. This paper addresses the vacuum in...

Persistent link: https://www.econbiz.de/10015263935

Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?

Hattori, Takahiro; Miyake, Hiroki - 2015

In this study, we examine the determinants of the yield spread between issuers in Japan’s municipal bond market using panel data and focus on identifying whether credit risk premium exists. The results of the panel data analysis reveal new evidence on the municipal bond market for FY...

Persistent link: https://www.econbiz.de/10015249347

Banking Stability in the ESG Framework Across Italian Regions

Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024

This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...

Persistent link: https://www.econbiz.de/10015213734

Is after-hours trading informative?

Ulibarri, Carlos A. - 1998

This article investigates price and trading volume relations for near term crude oil contracts at the New York Mercantile Exchange (NYMEX). The study investigates the informativeness of after-hours trading under the prior assumption that daytime and after-hours trading sessions are completely...

Persistent link: https://www.econbiz.de/10015216606

Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade

Ulibarri, Carlos A. - 2004

This study uses a vector error correction (VEC) model to examine price-volume relationships between open outcry and e-trading at the Chicago Board of Trade. We test whether equilibrium price corrections on one system are independent of the other, and whether this price behavior is more sensitive...

Persistent link: https://www.econbiz.de/10015216609