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Margining in derivatives markets and the stability of the banking sector

Rajna Gibson, Carsten Murawski
2013 Journal of Banking & Finance  
Subsequently, we extend this model into a dynamic simulation model that captures some of the essential characteristics of over-the-counter derivatives markets.  ...  We investigate the effects of margining, a widely-used mechanism for attaching collateral to derivatives contracts, on derivatives trading volume, default risk, and on the welfare in the banking sector  ...  Acknowledgements The manuscript benefited from comments by an anonymous referee as well as those of Charles  ... 
doi:10.1016/j.jbankfin.2012.10.005 fatcat:c5ycepu7d5f4fgsmrpznozk7tq

Credit Markets: Retrospect and Prospect

David M. Rowe
2012 Global Credit Review  
Most of these continue to rely, however, on implicit estimation from observable bond prices, credit default swap prices, option prices or some combination of these.  ...  5 These innovations enabled a major shift in the business model of banks from originate-and-hold to originate-and-distribute.  ... 
doi:10.1142/s2010493612500018 fatcat:czmalho6cndvpe75ijwwn4l7ky

Systemic risk management and investment analysis with financial network analytics: research opportunities and challenges

Daning Hu, Gerhard Schwabe, Xiao Li
2015 Financial Innovation  
Moreover, with the advance of big data related technologies, and the availability of huge amounts of financial and economic network data, advanced computing technologies and data analytics that can comprehend  ...  A network-based perspective or approach is needed to study various financial networks in order to improve or extend financial theories, as well as develop business applications.  ...  Acknowledgement This research was partially supported by Department of informatics, Faculty of Economics, Business Administration and Information Technology, University of Zurich.  ... 
doi:10.1186/s40854-015-0001-x fatcat:e4lhqph7dbhw5ogimc7s5hslve

A complex systems approach to constructing better models for managing financial markets and the economy

J. Doyne Farmer, M. Gallegati, C. Hommes, A. Kirman, P. Ormerod, S. Cincotti, A. Sanchez, D. Helbing
2012 The European Physical Journal Special Topics  
Perhaps as important we shall investigate the impact that new information technologies, coupled with a natural tendency of market participants to "herd", has had on the evolution of financial market prices  ...  They include data mining, network analysis, systems dynamics, agent based modelling, non-linear dynamics, catastrophe theory and the theory of critical phenomena.  ...  The publication of this work was partially supported by the European Union's Seventh  ... 
doi:10.1140/epjst/e2012-01696-9 fatcat:svisuarzj5frdmwz35mmwc5jci

Economic Catastrophe Bonds

Joshua D Coval, Jakub W Jurek, Erik Stafford
2009 The American Economic Review  
In ...xed income markets, many investors focus exclusively on estimates of expected payo¤s, such as credit ratings, without considering the state of the economy in which default is likely to occur.  ...  We are especially grateful to Eli Cohen and Marco Naldi at Lehman Brothers and Max Risman and Je¤ Larson at Sowood Capital for providing data and insights on credit markets.  ...  credit default swaps.  ... 
doi:10.1257/aer.99.3.628 fatcat:xtclo4ovrvf5jjb6zzu5symyjy

From agent-based modeling to actor-based reactive systems in the analysis of financial networks

Silvia Crafa
2021 Journal of Economic Interaction and Coordination  
AbstractWe present a new framework for the analysis of financial networks, called Actor-based Reactive Systems (ARS), that pushes further the Agent-Based approach (ABM) by resorting to ideas coming from  ...  We show that, compared to ABMs, ARSs bring about finer-grained analyses, with a greater degree of heterogeneity and adaptivity of economic agents.  ...  (e.g., loans, credits, bonds, derivatives like credit default swaps) and any kind of assets (e.g., sovereigns, households, physical assets).  ... 
doi:10.1007/s11403-021-00323-8 fatcat:5j657tz2tvelpn57cwlrwav354

Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements

Dima Rahman
2013 Quantitative finance (Print)  
Using Credit Default Swaps (CDS) premia as a measure of credit or counterparty risk, our analysis focuses on the extreme co-movements of Financial Institutions' default contracts during the high level  ...  of stress undergone by the CDS markets in the aftermath of the 2007 sub-prime crisis.  ...  Second, it makes use of a dataset consisting of daily prices of Credit Default Swap (CDS) contracts.  ... 
doi:10.1080/14697688.2013.797593 fatcat:bsr4j626mncippxhqljuhu26lu

Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach

Sheri M Markose
2013 Journal of Banking Regulation  
Paradox of volatility inherent to market price based measures of systemic risk has made bilateral balance sheet and off balance data between FIs and network analysis essential for systemic risk management  ...  There is both a data and a skills gap in implementing large scale data driven multi-agent financial network (MAFN) models that can operationalize macro-prudential policy.  ...  In Figure 5 .b 18 , the Segoviano and Goodhart [71] 19 credit default swap market price based banking stability index (green in Figure 5 .b) spikes are at best contemporaneous with the crisis marked  ... 
doi:10.1057/jbr.2013.10 fatcat:gt2cy7mrbrbshenhihslscw2xa

Credit Default Swaps: A Survey

Patrick Augustin
2014 Foundations and Trends in Finance  
Credit default swaps (CDS) have been growing in importance in the global financial markets.  ...  The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles as well as from that of structural and reduced-form credit risk models.  ...  for Sovereign Credit Default Swaps In this subsection, we first review the market size and structure of the sovereign CDS market.  ... 
doi:10.1561/0500000040 fatcat:yx2awrm4nzhapfhbgodwdf6kry

Understanding, modelling and managing longevity risk: key issues and main challenges

Pauline Barrieu, Harry Bensusan, Nicole El Karoui, Caroline Hillairet, Stéphane Loisel, Claudia Ravanelli, Yahia Salhi
2012 Scandinavian Actuarial Journal  
This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries.  ...  most relevant modelling and pricing practices in the banking industry.  ...  Modelling issues for pricing Designing longevity-based securities brings together various modelling issues besides form the challenges of pure longevity risk modelling.  ... 
doi:10.1080/03461238.2010.511034 fatcat:4wteyte5xjddzfyhymvktrtiou

Longevity Risk and Capital Markets: The 2013-14 Update

Ken Seng Tan
2015 Social Science Research Network  
This is the accepted version of the paper. This version of the publication may differ from the final published version.  ...  Permanent repository link: http://openaccess.city.ac.uk/11962/ Link to published version: http://dx.  ...  (i.e., simulated) life policies, based on a longevity index built by Credit Suisse. In 2009, survivor swaps began to be offered to the market based on Deutsche Börse's Xpect Cohort Indices.  ... 
doi:10.2139/ssrn.2753653 fatcat:gsghjhx6jrhebg4phk2r6i67vq

Longevity Risk and Capital Markets: The 2013-14 Update

Ken Seng Tan, David P. Blake, Richard D. MacMinn
2015 Social Science Research Network  
This is the accepted version of the paper. This version of the publication may differ from the final published version.  ...  Permanent repository link: http://openaccess.city.ac.uk/11962/ Link to published version: http://dx.  ...  (i.e., simulated) life policies, based on a longevity index built by Credit Suisse. In 2009, survivor swaps began to be offered to the market based on Deutsche Börse's Xpect Cohort Indices.  ... 
doi:10.2139/ssrn.2592341 fatcat:3fl3jzi6sbarxc62j2jys77nku

The Integration of Big Data and Artificial Neural Networks for Enhancing Credit Risk Scoring in Emerging Markets: Evidence from Egypt

Osama Wagdi, Yasmeen Tarek
2022 International Journal of Economics and Finance  
This study investigates the effectiveness of technology models in credit risk scoring modeling in emerging markets. the study proposes evaluation methods for credit risk scoring modeling for current and  ...  potential borrowers through an investigation into the Egyptian banking industry by offering and examining a framework for the integration of big data and artificial neural networks based on systematic  ...  Using a panel data approach, the study proposes evaluation methods for credit risk scoring modeling based on cross-sectional simulation for borrowers through an investigation into the Egyptian banking  ... 
doi:10.5539/ijef.v14n2p32 fatcat:tbmamy6bpbecrg44o2r3mzpqya

Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets

P. Feldhutter, M. S. Nielsen
2012 Journal of Financial Econometrics  
We present a new estimation approach that allows us to extract from synthetic credit markets the contribution of systematic and idiosyncratic default risk to total default risk.  ...  Using an extensive data set of 90,600 CDS and CDO tranche spreads on the North American Investment Grade CDX index we conduct an empirical analysis of an intensity-based model for correlated defaults.  ...  We present a new approach to estimate intensity-based models based on quotes from synthetic credit markets.  ... 
doi:10.1093/jjfinec/nbr011 fatcat:b5pb5o5oandhrf46wg7fpmykyu

Switzerland: Technical Note-Systemic Risk and Contagion Analysis

International Monetary Fund
2014 IMF Staff Country Reports  
Thus, it can be implemented with PoDs estimated with different approaches, including (i) Merton-type models, (ii) Credit Default Swaps (CDS), and (iii) Out of the Money Option Prices (OOM) or PoDs estimated  ...  These probabilities of default are estimated by dividing the level of the Credit Default Swap (CDS) by its Recovery Rate (RR).  ...  Following this intuition, the concrete steps taken to compute the stock return-implied PDs were the following: Step one: default threshold:  Based on series of stock prices, compute a time series of returns  ... 
doi:10.5089/9781498353922.002 fatcat:7fljmv6p5nd5vpy42xbaobrkxq
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