Results 101 to 110 of about 30,951 (222)
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
Knowledge Graphs and Critical Infrastructures: Friends or Foes?
WIREs Data Mining and Knowledge Discovery, Volume 16, Issue 2, June 2026.Conceptual overview of Knowledge Graph integration in Critical Infrastructures, illustrating interconnected systems, data flows, and their role in enhancing resilience and operational intelligence. ABSTRACT Knowledge Graphs (KGs) are a natural evolution of data models representing and connecting data in a network of nodes and relations.
José Miguel Blanco +3 more
wiley +1 more source
The Echo Effect of Momentum and Investor Trading Behavior
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT This study examines the momentum echo effect using cross‐sectional momentum (CMOM) and idiosyncratic momentum (IMOM) in the Korean stock market. The results document robust evidence for CMOM‐based portfolios, while IMOM‐based portfolios exhibit contrasting evidence.
Cheoljun Eom, Jong Won Park
wiley +1 more source
Optimal Central Counterparty Risk Management [PDF]
In order to protect themselves against the potential losses in case of a participant's default and to contain systemic risk, central counterparties (CCPs) need to maintain sufficient financial resources.
Andy Sturm, Philipp Haene
core
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, Volume 46, Issue 5, Page 931-951, May 2026.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility
Discrete Dynamics in Nature and Society, 2018 This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
doaj +1 more source
Let's make it clear: how central counterparties save(d) the day [PDF]
The bankruptcy of Lehman Brothers in 2008 will certainly be featured in history books as one of the greatest financial failures so far, but it will also be recorded as yet another episode of the historically successful performance of clearing ...
Cyril Monnet
core
Price Discovery in Bitcoin ETF Market
Financial Review, Volume 61, Issue 2, Page 435-449, May 2026.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Contracting innovations and the evolution of clearing and settlement methods at futures exchanges [PDF]
Defining futures contracts as substitutes for associated cash transactions enables a discussion of the evolution of controls over contract nonperformance risk. These controls are incorporated into exchange methods for clearing contracts.
James T. Moser
core
Skew Premiums Around Earnings Announcements
Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.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