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1.
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We present CoMargin, a new methodology to estimate collateral requirements in derivatives central counterparties (CCPs). CoMargin depends on both the tail risk of a given[...]
2017 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail ris[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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We test the prevalence, sources and effects of herding among large speculative traders in thirty U.S. futures markets over 2004-2009. We find significant herding levels w[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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4.
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We use data from 2005-2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price change[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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5.
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We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility an[...]
2015 | Text | Staff Working Paper - Document de travail du personnel |
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