A New Model for Pricing Collateralized Financial Derivatives

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. https://arabixiv.org/b9vg8/download

A New Model for Pricing Collateralized OTC Derivatives

10.31226/osf.io/am8zy ◽

2019 ◽

Author(s):

Tim Xiao

Keyword(s):

Credit Risk ◽

Empirical Evidence ◽

Market Price ◽

New Model ◽

Otc Derivatives ◽

Risk Measurements ◽

The Impact ◽

ABSTRACTThis paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. https://frenxiv.org/am8zy/download

A New Model for Pricing Collateralized OTC Derivatives

10.31222/osf.io/7cj3s ◽

2019 ◽

Author(s):

Tim Xiao

Keyword(s):

Credit Risk ◽

Empirical Evidence ◽

Market Price ◽

New Model ◽

Otc Derivatives ◽

Risk Measurements ◽

The Impact ◽

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk.

A New Model for Pricing Collateralized OTC Derivatives

10.31235/osf.io/dh9mr ◽

2019 ◽

Author(s):

Tim Xiao

Keyword(s):

Credit Risk ◽

Empirical Evidence ◽

Market Price ◽

New Model ◽

Otc Derivatives ◽

Risk Measurements ◽

The Impact ◽

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. https://osf.io/preprints/socarxiv/dh9mr/download

A New Model for Pricing Collateralized OTC Derivatives

10.31229/osf.io/y2wqc ◽

2019 ◽

Author(s):

Tim Xiao

Keyword(s):

Credit Risk ◽

Empirical Evidence ◽

Market Price ◽

New Model ◽

Otc Derivatives ◽

Risk Measurements ◽

The Impact ◽

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. https://osf.io/preprints/lissa/y2wqc/download

A New Model for Pricing Collateralized OTC Derivatives

10.31227/osf.io/dwz2m ◽

2019 ◽

Author(s):

Tim Xiao

Keyword(s):

Credit Risk ◽

Empirical Evidence ◽

Market Price ◽

New Model ◽

Otc Derivatives ◽

Risk Measurements ◽

The Impact ◽

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk.

The Impact of Margin Trading and Short Selling by Retail Investors on Market Price Efficiency: Empirical Evidence from Bitcoin Exchanges

Finance Research Letters ◽

10.1016/j.frl.2022.102689 ◽

2022 ◽

pp. 102689

Author(s):

Jan-Oliver Strych

Keyword(s):

Empirical Evidence ◽

Market Price ◽

Short Selling ◽

Price Efficiency ◽

Retail Investors ◽

The Impact of Margin Trading and Short Selling by Retail Investors on Market Price Efficiency: Empirical Evidence from Bitcoin Exchanges

SSRN Electronic Journal ◽

10.2139/ssrn.3704922 ◽

2020 ◽

Author(s):

Jan-Oliver Strych

Keyword(s):

Empirical Evidence ◽

Market Price ◽

Short Selling ◽

Price Efficiency ◽

Retail Investors ◽

Translation Competence

Social Media in Education ◽

10.4018/978-1-5225-5652-7.ch016 ◽

2018 ◽

pp. 296-319

Author(s):

Sonia Vandepitte ◽

Birthe Mousten ◽

Bruce Maylath ◽

Suvi Isohella ◽

Maria Teresa Musacchio ◽

...

Keyword(s):

Collaborative Learning ◽

Empirical Evidence ◽

Empirical Data ◽

Technical Communication ◽

Virtual Team ◽

International Project ◽

Future Research ◽

Training Programmes ◽

After Kiraly (2000) introduced the collaborative form of translation in classrooms, Pavlović (2007), Kenny (2008), and Huertas Barros (2011) provided empirical evidence that testifies to the impact of collaborative learning. This chapter sets out to describe the collaborative forms of learning at different stages in the translation processes in the Trans-Atlantic and Pacific Project, a long-term cross-cultural virtual team. It describes the forms of collaborative learning practised in this multilateral international project in technical communication and translator training programmes and explores the empirical data that the project may provide for future research into learning translation.

Handbook of Research on Teaching Methods in Language Translation and Interpretation - Advances in Educational Technologies and Instructional Design ◽

Translation Competence

10.4018/978-1-4666-6615-3.ch009 ◽

2015 ◽

pp. 137-159 ◽

Cited By ~ 5

Author(s):

Sonia Vandepitte ◽

Birthe Mousten ◽

Bruce Maylath ◽

Suvi Isohella ◽

Maria Teresa Musacchio ◽

...

Keyword(s):

Collaborative Learning ◽

Empirical Evidence ◽

Empirical Data ◽

Technical Communication ◽

Virtual Team ◽

International Project ◽

Future Research ◽

Training Programmes ◽

After Kiraly (2000) introduced the collaborative form of translation in classrooms, Pavlovic (2007), Kenny (2008), and Huertas Barros (2011) provided empirical evidence that testifies to the impact of collaborative learning. This chapter sets out to describe the collaborative forms of learning at different stages in the translation processes in the Trans-Atlantic and Pacific Project, a long-term cross-cultural virtual team. It describes the forms of collaborative learning practised in this multilateral international project in technical communication and translator training programmes and explores the empirical data that the project may provide for future research into learning translation.