The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Ludwig B Chincarini - One of the best experts on this subject based on the ideXlab platform.
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no chills or burns from temperature surprises an empirical analysis of the weather Derivatives Market
Journal of Futures Markets, 2011Co-Authors: Ludwig B ChincariniAbstract:This article examines the efficiency of the weather futures Market traded on the CME in both HDD and CDD futures contracts in 18 cities across the United States. Efficiency is examined in three ways. First, by comparing the Market's implied forecasts for the weather against other forecasts. Second, by looking at whether Market's overreact or under-react to temperature surprises. Third, by looking at weather derivative patterns across cities. We find that generally the Market seems very efficient despite its lack of liquidity. We also find risk premia that seem to vary across cities and over time. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:1–33, 2011
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no chills or burns from temperature surprises an empirical analysis of the weather Derivatives Market
Social Science Research Network, 2009Co-Authors: Ludwig B ChincariniAbstract:This article examines the efficiency of a relatively new Market, the weather Derivatives Market. The weather Market is an especially interesting Market to study, since it is relatively new and less liquid and whose underlying has no fundamental value. We examine the weather Derivatives futures Market traded on the CME (Chicago Mercantile Exchange) in both HDD (heating degree days) futures contracts and CDD (cooling degree days) futures contracts in 18 cities across the United States. We examine the efficiency of the weather Market in three ways. The first way is by comparing the Market's implied forecasts for the weather against other forecasts, including variations of a historical forecasts and forecasts based upon the National Weather Service 7-day MOS prediction model. The second way is by looking at surprise temperatures across cities and across different days of the month and subsequent returns from buying or selling those weather futures contracts. We examine the properties of these returns to determine whether we observe overreaction in the weather Derivatives Market. The third way is by looking at weather patterns across different cities, i.e. cross auto-correlation of actual weather patterns compared to derivative contracts. In this article, we find that the weather Derivatives Market is quite efficient despite its lack of depth. It also might indicate that Markets with shorter horizons and an impossibility of inside information will generally be more efficient.
Diego Valiante - One of the best experts on this subject based on the ideXlab platform.
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shaping reforms and business models for the otc Derivatives Market quo vadis
Social Science Research Network, 2010Co-Authors: Diego ValianteAbstract:Now that the worst of the financial storm is over, regulators are setting new strategies to deal with the systemic importance of the $427 trillion ($604 trillion) over-the-counter (OTC) Derivatives Market. This paper explores the three major sources of disruptive effects in OTC Derivatives transactions: liquidity, counterparty risk and legal uncertainty. These risks affect the value chain of a typical derivative product and weaken the economic and legal rationale behind their widespread use. On the policy side, commitments have been made at G-20 level to draft uniform rules on a global scale “to build a safer financial system”. This paper finds, however, that in practice, the EU and US proposals lay out divergent roads to meet common objectives and the author warns that such divergences may encourage regulatory and supervisory arbitrages. Policy options currently under discussion may need further revision. For instance, centralisation of clearing on network infrastructures, as CCP's, can only be limited to a restricted group of eligible financial products. Mechanisms of adverse selction and moral hazard, then, may at any time affect the efficient functioning of these crucial infrastructures for financial Markets.
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shaping reforms and business models for the otc Derivatives Market quo vadis
Research Papers in Economics, 2010Co-Authors: Diego ValianteAbstract:Now that the worst of the financial storm is over, regulators are setting new strategies to deal with the systemic importance of the €427 trillion ($604 trillion) over-the-counter (OTC) Derivatives Market. This paper explores the three major sources of disruptive effects in OTC Derivatives: liquidity, counterparty risk and legal uncertainty. These risks affect the value chain of a typical derivative transaction and weaken the economic and legal rationale behind their widespread use. On the policy side, commitments have been made at G-20 level to draft uniform rules on a global scale “to build a safer financial system”. This paper finds, however, that in practice, the EU and US proposals lay out divergent roads to meet common objectives and the author warns that such divergences may encourage regulatory and supervisory arbitrage.
Pauline Gandre - One of the best experts on this subject based on the ideXlab platform.
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unintended consequences of the global Derivatives Market reform
Social Science Research Network, 2020Co-Authors: Pauline Gandre, Mike Mariathasan, Ouarda Merrouche, Steven OngenaAbstract:We investigate regulatory arbitrage during the G20’s global Derivatives Market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central clearing – that are costly, but do not directly benefit banks. We further document that subsidiaries in jurisdictions with more reform progress shift to riskier portfolios. Alleviating endogeneity concerns we show that reform progress is primarily driven by structural (time-invariant) factors.
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unintended consequences of the global Derivatives Market reform
Research Papers in Economics, 2020Co-Authors: Pauline Gandre, Mike Mariathasan, Ouarda Merrouche, Steven OngenaAbstract:We investigate regulatory arbitrage during the G20's global Derivatives Market reform. We hand-collect comprehensive data on the staggered reform process and show that its progress is primarily driven by structural time-invariant factors. Following the reform banks shift up to 70 percent of their Derivatives activity towards less regulated jurisdictions. This shift is driven by reform items â?? such as the promotion of central clearing â?? that are costly, but do not directly benefit them. Subsidiaries in jurisdictions with more regulatory progress shift into riskier portfolios.
Ilias D Visvikis - One of the best experts on this subject based on the ideXlab platform.
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liquidity effects and ffa returns in the international shipping Derivatives Market
Transportation Research Part E-logistics and Transportation Review, 2015Co-Authors: Amir H Alizadeh, Konstantina Kappou, Dimitris A Tsouknidis, Ilias D VisvikisAbstract:The study examines the impact of liquidity risk on freight Derivatives returns. The Amihud liquidity ratio and bid–ask spreads are utilized to assess the existence of liquidity risk in the freight Derivatives Market. Other macroeconomic variables are used to control for Market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight Derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and significant effects on the returns of freight Derivatives. The results have important implications for modeling freight Derivatives, and consequently, for trading and risk management purposes.
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liquidity risk premia in the international shipping Derivatives Market
2014Co-Authors: Amir H Alizadeh, Konstantina Kappou, Dimitris A Tsouknidis, Ilias D VisvikisAbstract:The study examines the existence of liquidity risk premia on freight Derivatives returns. The Amihud liquidity ratio and bid-ask spreads are utilized to assess the existence of liquidity premia. Other macroeconomic variables are used to control for Market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight Derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and significant effects on the returns of near-month freight Derivatives contracts. The results have important implications for modeling freight Derivatives returns, and consequently, for trading and risk management purposes.
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the relation between bid ask spreads and price volatility in forward Markets
Journal of Derivatives & Hedge Funds, 2005Co-Authors: Roy Batchelor, Amir H Alizadeh, Ilias D VisvikisAbstract:The forward freight agreement (FFA) Market was developed in the 1990s and is growing very fast as the main Derivatives Market offering agents in the shipping and transportation industry a risk management instrument. FFAs agreements are Derivatives contracts traded in an over-the-counter (OTC) Market where two parties must agree to do business with each other while accepting credit risk from the other party.1 The primary advantage of an OTC Market is that the terms and conditions are tailored to the specific needs of the two parties. Since this Market is a private Market in which the general public does not know that the transaction was done, it does not normally require initial, maintenance and variation margins, which are common in the futures organised exchanges.2
Steven Ongena - One of the best experts on this subject based on the ideXlab platform.
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unintended consequences of the global Derivatives Market reform
Social Science Research Network, 2020Co-Authors: Pauline Gandre, Mike Mariathasan, Ouarda Merrouche, Steven OngenaAbstract:We investigate regulatory arbitrage during the G20’s global Derivatives Market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central clearing – that are costly, but do not directly benefit banks. We further document that subsidiaries in jurisdictions with more reform progress shift to riskier portfolios. Alleviating endogeneity concerns we show that reform progress is primarily driven by structural (time-invariant) factors.
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unintended consequences of the global Derivatives Market reform
Research Papers in Economics, 2020Co-Authors: Pauline Gandre, Mike Mariathasan, Ouarda Merrouche, Steven OngenaAbstract:We investigate regulatory arbitrage during the G20's global Derivatives Market reform. We hand-collect comprehensive data on the staggered reform process and show that its progress is primarily driven by structural time-invariant factors. Following the reform banks shift up to 70 percent of their Derivatives activity towards less regulated jurisdictions. This shift is driven by reform items â?? such as the promotion of central clearing â?? that are costly, but do not directly benefit them. Subsidiaries in jurisdictions with more regulatory progress shift into riskier portfolios.