Results 71 to 80 of about 34,635 (206)
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Monotone methods in counterparty risk models with nonlinear Black–Scholes-type equations [PDF]
, 2022 Bénédicte Alziary, Peter Takáč
openalex +1 more source
Collateral‐Based Monetary Policy: Evidence From China
International Economic Review, EarlyView.ABSTRACT We exploit the unique institutional features of Chinese bond markets to estimate the causal effect of collateral‐based monetary policy on asset prices and the real economy. A policy change allowed certain bonds to be used as collateral for the Medium‐Term Lending Facility in the interbank market, while the same bonds in the exchange market ...
Hanming Fang, Yongqin Wang, Xian Wu
wiley +1 more source
Digital Euro Holding Limits and Monetary Policy Implementation: A Microdata‐Based Perspective
International Finance, EarlyView.ABSTRACT This paper conducts a quantitative analysis to calculate a potential digital euro (D€) holding limit robust to adverse conditions. It draws on a detailed and unique data set that includes individual bank level data for the entire euro area.
Hendrik Becker, Lennart Grabia
wiley +1 more source
Risk-sharing or risk-taking? Counterparty risk, incentives and margins [PDF]
We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller.
Bruno Biais +2 more
core
FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets [PDF]
, 2012 The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate ...
Levich, Richard M.
core
Serial Investing and Strategic Commitment in Markets With Unknown Competitors
Journal of Economics &Management Strategy, EarlyView.ABSTRACT We study how serial investors who regularly face unknown competitors attempt to make their projects dominant. Innovating in new markets often involves uncertainty over the nature of the final product and who the key competitors will be. Such projects also have long‐term funding needs, so a commitment to provide the necessary funds imparts a ...
Naveen Khanna, Richmond Mathews
wiley +1 more source
Central Counterparty Default Waterfalls and Systemic Loss [PDF]
, 2022 Samim Ghamami +2 more
openalex +1 more source
Mutual fund director compensation
Journal of Financial Research, EarlyView.Abstract We examine director compensation using a large sample of hand‐compiled U.S. mutual fund data. We find that director compensation is positively correlated with observable productive characteristics—workload, experience, and demographics—that capture the benefits from the directors’ monitoring effort.
John Adams +2 more
wiley +1 more source
Model-free bounds on bilateral counterparty valuation [PDF]
In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the
Haase, Joerdis +2 more
core +1 more source