Discriminatory Pricing Of Over The Counter Derivatives
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Discriminatory Pricing Of Over The Counter Derivatives
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Author : Hau Harald
language : en
Publisher: International Monetary Fund
Release Date : 2019-05-07
Discriminatory Pricing Of Over The Counter Derivatives written by Hau Harald and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-07 with Business & Economics categories.
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
Discriminatory Pricing Of Over The Counter Derivatives
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Author : Harald Hau
language : en
Publisher: International Monetary Fund
Release Date : 2019-05-07
Discriminatory Pricing Of Over The Counter Derivatives written by Harald Hau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-07 with Business & Economics categories.
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
Discriminatory Pricing Of Over The Counter Derivatives
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Author : Harald Hau
language : en
Publisher:
Release Date : 2017
Discriminatory Pricing Of Over The Counter Derivatives written by Harald Hau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Derivative securities categories.
New regulatory data reveal extensive discriminatory pricing in the foreign exchange derivatives market, in which dealer-banks and their non-financial clients trade over-the-counter. After controlling for contract characteristics, dealer fixed effects, and market conditions, we find that the client at the 75th percentile of the spread distribution pays an average of 30 pips over the market mid-price, compared to competitive spreads of less than 2.5 pips paid by the bottom 25% of clients. Higher spreads are paid by less sophisticated clients. However, trades on multi-dealer request-for-quote platforms exhibit competitive spreads regardless of client sophistication, thereby eliminating discriminatory pricing.
Recommendations For Central Counterparties
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Author : Group of Ten. Committee on Payment and Settlement Systems
language : en
Publisher:
Release Date : 2004
Recommendations For Central Counterparties written by Group of Ten. Committee on Payment and Settlement Systems and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Clearing of securities categories.
The Emerald Handbook Of Fintech
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Author : H. Kent Baker
language : en
Publisher: Emerald Group Publishing
Release Date : 2024-10-04
The Emerald Handbook Of Fintech written by H. Kent Baker and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-04 with Business & Economics categories.
The Emerald Handbook of Fintech offers a detailed, user-friendly examination of the technologies and products reshaping the financial technology industry from leading global scholars and practitioners.
Dark Markets
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Author : Darrell Duffie
language : en
Publisher: Princeton University Press
Release Date : 2012-01-08
Dark Markets written by Darrell Duffie and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-08 with Business & Economics categories.
This book offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field.
The Handbook Of Global Shadow Banking Volume I
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Author : Luc Nijs
language : en
Publisher: Springer Nature
Release Date : 2020-06-30
The Handbook Of Global Shadow Banking Volume I written by Luc Nijs and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-30 with Business & Economics categories.
This global handbook provides an up-to-date and comprehensive overview of shadow banking, or market-based finance as it has been recently coined. Engaging in financial intermediary services outside of normal regulatory parameters, the shadow banking sector was arguably a critical factor in causing the 2007-2009 financial crisis. This volume focuses specifically on shadow banking activities, risk, policy and regulatory issues. It evaluates the nexus between policy design and regulatory output around the world, paying attention to the concept of risk in all its dimensions—the legal, financial, market, economic and monetary perspectives. Particular attention is given to spillover risk, contagion risk and systemic risk and their positioning and relevance in shadow banking activities. Newly introduced and incoming policies are evaluated in detail, as well as how risk is managed, observed and assessed, and how new regulation can potentially create new sources of risk. Volume I concludes with analysis of what will and still needs to happen in the event of another crisis. Proposing innovative suggestions for improvement, including a novel Pigovian tax to tame financial and systemic risks, this handbook is a must-read for professionals and policy-makers within the banking sector, as well as those researching economics and finance.
The Dominant Currency Financing Channel Of External Adjustment
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Author : Camila Casas
language : en
Publisher: International Monetary Fund
Release Date : 2023-08-11
The Dominant Currency Financing Channel Of External Adjustment written by Camila Casas and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-11 with Business & Economics categories.
We provide evidence of a new channel through which exchange rates affect trade. Using a novel identification strategy that exploits firms’ maturity structure of foreign currency debt around a large depreciation in Colombia, we show that firms experiencing a stronger debt revaluation of dominant currency debt due to a home currency depreciation compress imports relatively more while exports are unaffected. Dominant currency financing does not lead to an import compression for firms that export, hold foreign currency assets, or are active in the foreign exchange derivatives markets, as they are all hedged against a revaluation of their debt. These findings can be rationalized through the prism of a model with costly state verification and foreign currency borrowing. Quantitatively, the dominant currency financing channel explains a significant part of the external adjustment process in addition to the expenditure switching channel. Pricing exports in the dominant currency, instead of the producer’s currency, mutes the effect of dominant currency financing on trade flows.
Data Science For Economics And Finance
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Author : Sergio Consoli
language : en
Publisher: Springer Nature
Release Date : 2021-06-09
Data Science For Economics And Finance written by Sergio Consoli and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-09 with Computers categories.
This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
Impacts Of H R 3795 The Over The Counter Derivatives Market Act Of 2009 On Energy Markets
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Author : United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Energy and Environment
language : en
Publisher:
Release Date : 2012
Impacts Of H R 3795 The Over The Counter Derivatives Market Act Of 2009 On Energy Markets written by United States. Congress. House. Committee on Energy and Commerce. Subcommittee on Energy and Environment and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Energy derivatives categories.