ERN: Swaps & Forwards (Topic)最新文献_第3页

Hidden Illiquidity with Multiple Central Counterparties 多个中央交易对手的隐性流动性不足

ERN: Swaps & Forwards (Topic) Pub Date : 2014-10-30 DOI: 10.2139/ssrn.2519647

P. Glasserman, C. Moallemi, Kai Yuan

{"title":"Hidden Illiquidity with Multiple Central Counterparties","authors":"P. Glasserman, C. Moallemi, Kai Yuan","doi":"10.2139/ssrn.2519647","DOIUrl":"https://doi.org/10.2139/ssrn.2519647","url":null,"abstract":"Regulatory changes are transforming the multitrillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework depends on the CCPs’ resilience. Margin requirements are a CCP’s first line of defense against the default of a counterparty. To capture liquidity costs at default, margin requirements need to increase superlinearly in position size. However, convex margin requirements create an incentive for a swaps dealer to split its positions across multiple CCPs, effectively “hiding” potential liquidation costs from each CCP. To compensate, each CCP needs to set higher margin requirements than it would in isolation. In a model with two CCPs, we define an equilibrium as a pair of margin schedules through which both CCPs collect sufficient margin under a dealer’s optimal allocation of trades. In the case of linear price impact, we show that a necessary and sufficient condition for the existence of an equilibrium is that the two CCPs agree on liquidity costs, and we characterize all equilibria when this holds. A difference in views can lead to a race to the bottom. We provide extensions of this result and discuss its implications for CCP oversight and risk management.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114602217","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 49

Pricing Variance Swaps Under Stochastic Volatility and Stochastic Interest Rate 随机波动率和随机利率下的定价差异掉期

ERN: Swaps & Forwards (Topic) Pub Date : 2014-07-01 DOI: 10.2139/ssrn.2485692

Jiling Cao, G. Lian, Teh Raihana Nazirah Roslan

引用次数: 30

Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets 信用风险是否影响流动性风险?来自信用违约互换市场的证据

ERN: Swaps & Forwards (Topic) Pub Date : 2014-04-20 DOI: 10.2139/ssrn.2426979

Markus Hertrich

{"title":"Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets","authors":"Markus Hertrich","doi":"10.2139/ssrn.2426979","DOIUrl":"https://doi.org/10.2139/ssrn.2426979","url":null,"abstract":"During the recent financial crisis that erupted in mid-2007, credit default swap spreads increased by several hundred basis points, accompanied by a liquidity shortage in the U.S. financial sector. This period has both evidenced the importance that liquidity has for investors and underlined the need to understand the linkages between credit markets and liquidity. This paper sheds light on the dynamic interactions between credit and liquidity risk in the credit default swap market. Contrary to the common belief that illiquidity leads to a credit risk deterioration in financial markets, it is found that in a sample of German and Swiss companies, credit risk is more likely to be weakly endogenous for liquidity risk than vice versa. The results suggest that a negative credit shock typically leads to a subsequent liquidity shortage in the credit default swap market, in the spirit of, for instance, the liquidity spiral posited by Brunnermaier (2009), and extends our knowledge about how credit markets work, as it helps to explain the amplification mechanisms that severely aggravated the recent crisis and also indicates which macro-prudential policies would be suitable for preventing a similar financial crisis in the future.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128997791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint 具有满边际约束的一维布伦尼尔定理的显式鞅形式

ERN: Swaps & Forwards (Topic) Pub Date : 2014-02-13 DOI: 10.2139/ssrn.2335969

P. Henry-Labordère, Xiaolu Tan, N. Touzi

引用次数: 46

Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method 频谱单侧Levy模型中的定价障碍期权和信用违约掉期:抛物拉普拉斯反演方法

ERN: Swaps & Forwards (Topic) Pub Date : 2013-10-31 DOI: 10.2139/ssrn.2348194

M. Boyarchenko, S. Levendorskii

{"title":"Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method","authors":"M. Boyarchenko, S. Levendorskii","doi":"10.2139/ssrn.2348194","DOIUrl":"https://doi.org/10.2139/ssrn.2348194","url":null,"abstract":"Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated in the context of wide classes of Levy models and the Heston model. In the present paper we construct efficient conformal deformations of the contours of integration in the pricing formulas for barrier options and CDS in the setting of spectrally one-sided Levy models, taking advantage of Rogers's trick (J. Appl. Prob. 2000) that greatly simplifies calculation of the Wiener-Hopf factors. We extend the trick to wide classes of Levy processes of infinite variation with zero diffusion component. In the resulting formulas (both in the finite variation and the infinite variation cases), we make quasi-parabolic deformations as in S. Boyarchenko and Levendorskii (IJTAF 2013), which greatly increase the rate of convergence of the integrals. We demonstrate that the proposed method is more accurate than the standard realization of Laplace inversion in many cases. We also exhibit examples in which the standard realization is so unstable that it cannot be used for any choice of the error control parameters.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"538 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127688122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Extracting Credit Spreads from Structural Models Via the Payout Ratio 通过派息率从结构模型中提取信用利差

ERN: Swaps & Forwards (Topic) Pub Date : 2013-07-01 DOI: 10.2139/ssrn.2288086

G. Grass

引用次数: 0

A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk 一个包含交易对手风险的依赖违约和或有债权定价模型

ERN: Swaps & Forwards (Topic) Pub Date : 2013-05-02 DOI: 10.2139/ssrn.2264068

D. Gatarek, J. Jabłecki

引用次数: 2

Dynamics of Interest Rate Swap and Equity Volatilities 利率互换和股票波动的动态

ERN: Swaps & Forwards (Topic) Pub Date : 2013-04-23 DOI: 10.2139/ssrn.2255584

A. Melé, Yoshiki Obayashi, C. Shalen

引用次数: 0

Alternative Swap Rate Model 替代掉期利率模型

ERN: Swaps & Forwards (Topic) Pub Date : 2013-01-28 DOI: 10.2139/ssrn.2208152

Deimante Rheinlaender

引用次数: 0

Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis 美国债务抵押债券(CDO)的多代理金融网络(MAFN)模型:监管资本套利、负CDS套利交易与系统风险分析

ERN: Swaps & Forwards (Topic) Pub Date : 2012-08-12 DOI: 10.4018/978-1-4666-6268-1.CH030

S. Markose, B. Oluwasegun, S. Giansante

{"title":"Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis","authors":"S. Markose, B. Oluwasegun, S. Giansante","doi":"10.4018/978-1-4666-6268-1.CH030","DOIUrl":"https://doi.org/10.4018/978-1-4666-6268-1.CH030","url":null,"abstract":"A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports which yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous accumulation of RMBS assets on US banks' balance sheets and also large counterparty exposures from CDS positions characterized the 2 trillion Collateralized Debt Obligation (CDO) market. The latter imploded by end of 2007 with large scale systemic risk consequences. Based on US FDIC bank data, that could have been available to the regulator at the time, we investigate how a CDS negative carry trade combined with incentives provided by Basel II and its precursor in the US, the Joint Agencies Rule 66 Federal Regulation No. 56914 which became effective on January 1, 2002, on synthetic securitization and credit risk transfer (CRT), led to the unsustainable trends and systemic risk. The resultant market structure with heavy concentration in CDS activity involving 5 US banks can be shown to present too interconnected to fail systemic risk outcomes. The simulation package can generate the financial network of obligations of the US banks in the CDS market. We aim to show how such a multi-agent financial network (MAFN) model is well suited to monitor bank activity and to stress test policy for perverse incentives on an ongoing basis.","PeriodicalId":378972,"journal":{"name":"ERN: Swaps & Forwards (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130588753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 11