A Reassessment of the Clearing Mandate: How the Clearing Mandate Affects Swap Trading Behavior and the Consequences for Systemic Risk

2015 ◽  
Author(s):  
Ilya Beylin
Keyword(s):  
Systemic Risk ◽  
Trading Behavior

Macroprudential Policy Instruments of Central Banks

2012 ◽  
pp. 32-47
Author(s):  
S. Andryushin ◽  
V. Kuznetsova
Keyword(s):  
Systemic Risk ◽  
Financial Stability ◽  
Financial System ◽  
Policy Instruments ◽  
Central Banks ◽  
Macroprudential Policy ◽  
Policy Studies ◽  
The Future ◽  
Financial Cycles

The paper analyzes central banks macroprudencial policy and its instruments. The issues of their classification, option, design and adjustment are connected with financial stability of overall financial system and its specific institutions. The macroprudencial instruments effectiveness is evaluated from the two points: how they mitigate temporal and intersectoral systemic risk development (market, credit, and operational). The future macroprudentional policy studies directions are noted to identify the instruments, which can be used to limit the financial systemdevelopment procyclicality, mitigate the credit and financial cycles volatility.

Risk Factors of Collateralized Loan Obligations and Corporate Bonds

2020 ◽  
Vol 32 (6) ◽  
pp. 347-355
Author(s):  
Mark Wahrenburg ◽  
Andreas Barth ◽  
Mohammad Izadi ◽  
Anas Rahhal
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Systemic Risk ◽  
Corporate Bonds ◽  
Risk Exposure ◽  
Expected Returns ◽  
Yield Spreads ◽  
Pricing Factors ◽  
Return Difference

AbstractStructured products like collateralized loan obligations (CLOs) tend to offer significantly higher yield spreads than corporate bonds (CBs) with the same rating. At the same time, empirical evidence does not indicate that this higher yield is reduced by higher default losses of CLOs. The evidence thus suggests that CLOs offer higher expected returns compared to CB with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing factors. We show that market risk is the predominant risk factor for both CBs and CLOs. CLO investors, however, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class of the CLO.

An Internal Control Weakness: FERC and Investor's Trading Behavior

2017 ◽  
Vol 26 (3) ◽  
pp. 175-217
Author(s):  
Eunhye Jo ◽  
Haewon Moon
Keyword(s):  
Internal Control ◽  
Trading Behavior

Introducing the Systemic Risk Council

CFA Magazine ◽  
2012 ◽  
Vol 23 (5) ◽  
pp. 8-9
Author(s):  
John Rogers
Keyword(s):  
Systemic Risk

Are Asset Managers a Source of Systemic Risk?

CFA Digest ◽  
2014 ◽  
Vol 44 (8) ◽  
Author(s):  
Sridhar Balakrishna
Keyword(s):  
Systemic Risk ◽  
Asset Managers

Measuring Global Systemic Risk: What Are Markets Saying about Risk?

CFA Digest ◽  
2011 ◽  
Vol 41 (1) ◽  
pp. 70-72
Author(s):  
Raymond Galkowski
Keyword(s):  
Systemic Risk

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

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