Etfs And Systemic Risks
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Etfs And Systemic Risks
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Author : Ayan Bhattacharya
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2020-01-22
Etfs And Systemic Risks written by Ayan Bhattacharya and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-22 with Business & Economics categories.
Exchange-traded funds (ETFs) revolutionized asset markets by using an innovative structure to make investing in a wide variety of asset classes simpler and cheaper. With their growing importance has come increasing concern that these products pose new risks to market stability and performance. This paper examines whether ETFs affect systemic risks in financial markets and, if they do, what the mechanism is by which this impact occurs and what can be done to keep the risks under control. We review current research and empirical evidence on these issues and discuss some emerging risks in ETFs. We ask whether we have the right “rules of the road” to deal with the new drivers of market behavior.
Exchange Traded Funds Etfs And Systemic Risk
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Author : Sebastian Grund
language : en
Publisher:
Release Date : 2020
Exchange Traded Funds Etfs And Systemic Risk written by Sebastian Grund and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This essay focuses the factors that make ETFs and trading in them unique - at times uniquely risky. Following a deep dive into the microstructure of ETFs, I zoom in on the potential systemic risks associated with ETFs, with a focus on the legal structure and, in particular, the arbitrage channel. Drawing on insights from the literature, this essay posits that the microstructure underlying the arbitrage mechanism inherent to ETFs, rather than the more conventional channel of massive demand redemption alone, can pose systemic risk. Specifically, I argue that the close relationship between the participants involved the management and trading of ETFs, which tend to be global systemically-important banks (G-SIBs), means that stress in the ETF markets can easily spill over into the broader financial system.
Structure And Systemic Risk Factors Of Exchange Traded Funds
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Author : Trent Mangold
language : en
Publisher:
Release Date : 2017
Structure And Systemic Risk Factors Of Exchange Traded Funds written by Trent Mangold and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Exchange traded funds categories.
"This paper is to serve as an investor’s guide to understanding the exchange-traded fund industry, where both the benefits and risks of these investment vehicles are presented. There will be a general overview of what an exchange-traded fund is, why it was created, how it was created, and why it is different from other similar types of investment products on the market today. There are many benefits that exchange-traded products offer investors, both institutional and retail, however, there are also risks associated with this industry. The Flash Crash of May 6, 2010, serves as an example for when a sophisticated market system fails to deliver. From research I have gathered, it appears that exchange-traded products were partially to blame for this failure, and will be looked at more closely to discover if there are any potential systemic risks that this investment vehicle may cause in the future". -- abstract
Can Etfs Contribute To Systemic Risk
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Author : Marco Pagano
language : en
Publisher:
Release Date : 2019
Can Etfs Contribute To Systemic Risk written by Marco Pagano and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Drawing on the growing literature in this area, this report assesses possible channels through which ETFs may affect systemic risk. The increasing availability of ETFs can affect investors' behaviour, by allowing them to pursue new strategies to seek return, manage risk and access new asset classes. Such changes in investors' behaviour may in turn impact the functioning of financial markets, particularly in times of market stress. Empirical research has so far identified three effects.
A Comprehensive Multi Sector Tool For Analysis Of Systemic Risk And Interconnectedness Syrin
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Author : Fabio Cortes
language : en
Publisher: International Monetary Fund
Release Date : 2018-01-24
A Comprehensive Multi Sector Tool For Analysis Of Systemic Risk And Interconnectedness Syrin written by Fabio Cortes 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 2018-01-24 with Business & Economics categories.
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries—insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation.
Indices Index Funds And Etfs
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Author : Michael I. C. Nwogugu
language : en
Publisher: Springer
Release Date : 2019-03-09
Indices Index Funds And Etfs written by Michael I. C. Nwogugu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-09 with Business & Economics categories.
Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.
Are Etfs A Gray Rhino
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Author : David Bozzetti
language : en
Publisher:
Release Date : 2022
Are Etfs A Gray Rhino written by David Bozzetti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Indices Index Funds And Etfs
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Author : Michael C. I. Nwogugu
language : en
Publisher:
Release Date : 2018
Indices Index Funds And Etfs written by Michael C. I. Nwogugu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Exchange traded funds categories.
Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices - and by extension, associated index funds and ETFs. The book characterizes the "Popular-Index Ecosystems," a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen's Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.
Etfs And Financial Stability
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Author : Ricardo Crisóstomo
language : en
Publisher:
Release Date : 2019
Etfs And Financial Stability written by Ricardo Crisóstomo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This article analyses the risks that ETFs might generate for financial stability. Although ETFs risks have been divided into different categories, many of them are interrelated and their joint modelling constitutes one of the main challenges of the empirical research on ETFs and systemic risk.
Exchange Traded Funds And The New Dynamics Of Investing
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Author : Ananth N. Madhavan
language : en
Publisher: Oxford University Press
Release Date : 2016
Exchange Traded Funds And The New Dynamics Of Investing written by Ananth N. Madhavan and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Business & Economics categories.
"An examination of the transformation of asset management through the rise of passive or index investing"--