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Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework 基于garch - dc -copula框架的信用违约互换保证金相关性影响研究
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-10-08 DOI: 10.21314/jfmi.2018.113
David X. Li, Roy M. Cheruvelil
{"title":"Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework","authors":"David X. Li, Roy M. Cheruvelil","doi":"10.21314/jfmi.2018.113","DOIUrl":"https://doi.org/10.21314/jfmi.2018.113","url":null,"abstract":"We establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit default swap (CDS) single names (SNs) and its impact on certain risk measures of CDS portfolios that consist of names from different sectors within the eurozone (EU) and North America (NA). Our purpose is to better understand the direction and magnitude of impacts on such risk measures due to correlation changes. This study covers 188 NA SNs and 145 EU SNs from January 2008 to August 2017. We find that correlations between CDS SNs go through different correlation regimes during this period. As a result, CDS portfolio risk measures in the form of value-at-risk or expected shortfall show sizable variation due to correlation regime shifts from historical means. Depending on the correlation level (high or low) and the portfolio type, risk measures could be either underestimated or overestimated. Both directional and balanced portfolios could experience a sizable underestimation of the margin depending on the direction in which the correlation deviates from historical means. Corresponding author: D. Li","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87086994","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: 5
Central counterparties: magic relighting candles? 中央交易对手:魔法重燃蜡烛?
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-10-04 DOI: 10.21314/jfmi.2019.114
Dermot Turing
{"title":"Central counterparties: magic relighting candles?","authors":"Dermot Turing","doi":"10.21314/jfmi.2019.114","DOIUrl":"https://doi.org/10.21314/jfmi.2019.114","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83199324","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
What drives Bitcoin fees? Using SegWit to assess Bitcoin’s long-run sustainability 是什么推动了比特币收费？使用SegWit评估比特币的长期可持续性
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-10-01 DOI: 10.21314/jfmi.2021.014
C. Brown, Jonathan Chiu, Thorsten V. Koeppl
{"title":"What drives Bitcoin fees? Using SegWit to assess Bitcoin’s long-run sustainability","authors":"C. Brown, Jonathan Chiu, Thorsten V. Koeppl","doi":"10.21314/jfmi.2021.014","DOIUrl":"https://doi.org/10.21314/jfmi.2021.014","url":null,"abstract":"We use block level data from the Bitcoin blockchain to estimate the impact of congestion and the USD price on average fee rates. The introduction and adoption of the Segwit protocol allows us to identify an aggregate demand curve for bitcoin transactions. We nd that Segwit has reduced fee revenue by about 80%. Fee revenue could be maximized at a blocksize of about 0.6 MB when Segwit adoption remains at 40%. At this blocksize, maximum fee revenue would be roughly 1/8 of the current block reward { or the equivalent of 1.6375 BTC as a reward in the long run given current prices and demand for Bitcoin.","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45382083","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: 8
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties 本地椭圆投资组合过程的资金和信用风险:对中央对手方的应用
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-07-26 DOI: 10.21314/JFMI.2018.112
Leif Andersen, A. Dickinson
{"title":"Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties","authors":"Leif Andersen, A. Dickinson","doi":"10.21314/JFMI.2018.112","DOIUrl":"https://doi.org/10.21314/JFMI.2018.112","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78680565","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
Proof-of-work blockchains and settlement finality: a functional interpretation 工作量证明区块链和结算终局性:一种功能解释
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-07-11 DOI: 10.21314/JFMI.2018.111
Ruth Wandhöfer, R. Berndsen
{"title":"Proof-of-work blockchains and settlement finality: a functional interpretation","authors":"Ruth Wandhöfer, R. Berndsen","doi":"10.21314/JFMI.2018.111","DOIUrl":"https://doi.org/10.21314/JFMI.2018.111","url":null,"abstract":"In this paper, we aim to provide an interpretation of the legal issue of settlement finality in the context of proof-of-work distributed ledger technology, such as the Bitcoin network. Bitcoin intends to achieve certainty of settlement of its cryptocurrency in a trustless environment, without the need for intermediaries and without recourse to any legal provision. We extend earlier work on functional modeling of the theoretical settlement problem to include blockchains, and we provide a functional interpretation of settlement finality by introducing the notion of degree of settlement finality. In principle, we conclude that functional settlement finality in Bitcoin is preferred to legal enforceability. However, in practice, the Bitcoin blockchain is not suitable for the trusted environment of the regulated financial industry unless well-known issues - such as high energy consumption, low settlement speed, problems with scalability and the 51% attack risk - are resolved.","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85788477","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: 5
Central counterparty anti-procyclicality tools: a closer assessment 中央对手方反顺周期性工具:更仔细的评估
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-07-02 DOI: 10.21314/JFMI.2018.110
A. Maruyama, F. Cerezetti
{"title":"Central counterparty anti-procyclicality tools: a closer assessment","authors":"A. Maruyama, F. Cerezetti","doi":"10.21314/JFMI.2018.110","DOIUrl":"https://doi.org/10.21314/JFMI.2018.110","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73918610","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: 8
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures 顺周期性和基于风险的准入:评估在金融市场基础设施中采用双边信贷限额的嵌入信用违约互换
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-03-27 DOI: 10.21314/JFMI.2018.109
O. Bewaji
{"title":"Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures","authors":"O. Bewaji","doi":"10.21314/JFMI.2018.109","DOIUrl":"https://doi.org/10.21314/JFMI.2018.109","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87326733","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: 0
What kind of payments settle in a real time gross settlement system? The case of Norges Bank’s settlement system (NBO) 什么样的付款在实时全额结算系统中结算?挪威央行结算系统(NBO)案例
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-03-13 DOI: 10.21314/JFMI.2018.107
Mats Bay Fevolden, Lyndsie Smith
{"title":"What kind of payments settle in a real time gross settlement system? The case of Norges Bank’s settlement system (NBO)","authors":"Mats Bay Fevolden, Lyndsie Smith","doi":"10.21314/JFMI.2018.107","DOIUrl":"https://doi.org/10.21314/JFMI.2018.107","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87406259","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: 0
Who pays? Who gains? Central counterparty resource provision in the post-Pittsburgh world 谁支付?谁是受益者?后匹兹堡世界的中央对手方资源供应
IF 0.2
Journal of Financial Market Infrastructures Pub Date : 2019-02-26 DOI: 10.21314/jfmi.2018.108
F. Cerezetti, Jorge Cruz Lopez, M. Manning
{"title":"Who pays? Who gains? Central counterparty resource provision in the post-Pittsburgh world","authors":"F. Cerezetti, Jorge Cruz Lopez, M. Manning","doi":"10.21314/jfmi.2018.108","DOIUrl":"https://doi.org/10.21314/jfmi.2018.108","url":null,"abstract":"","PeriodicalId":41226,"journal":{"name":"Journal of Financial Market Infrastructures","volume":null,"pages":null},"PeriodicalIF":0.2,"publicationDate":"2019-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80500968","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: 7
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