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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets

Nauta, Bert-Jan - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10011403233

Conic CVA and DVA for option portfolios

Bakel, Sjoerd van; Borovkova, Svetlana; Michielon, Matteo - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-30

Persistent link: https://www.econbiz.de/10012496518

Structural estimation of counterparty credit risk under recovery risk

Castellano, Rosella; Corallo, Vincenzo; Morelli, Giacomo - In: Journal of banking & finance 140 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013463128

Systemic risk and the refinancing ratchet effect

Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009

The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

Persistent link: https://www.econbiz.de/10003889053

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

Persistent link: https://www.econbiz.de/10015158136

Identifying speculative demand shocks in commodity futures markets through changes in volatility

Hachula, Michael; Rieth, Malte - 2017

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...

Persistent link: https://www.econbiz.de/10011619592

Default and Liquidity Regimes in the Bond Market During the 2002-2012 Period

Dionne, Georges - 2013

credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

Persistent link: https://www.econbiz.de/10013077480

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentarō; Watkins, Clinton - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-17

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

Persistent link: https://www.econbiz.de/10014284282

Liquidity Spillovers Across Assets Classes

Zafeiridou, Christina - 2016

information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase …Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet … not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across …

Persistent link: https://www.econbiz.de/10013003036