Displaying similar documents to “Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan”

Dynamic model of market with uninformed market maker

Martin Šmíd, Miloš Kopa (2017)

Kybernetika

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We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...

Some short elements on hedging credit derivatives

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...