Analysis And Evaluation Of The Eurex Repo Market Model

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Analysis and Evaluation of the Eurex Repo Market Model

Author : Monika Gruber
Publisher : diplom.de
ISBN 13 : 3832440496
Total Pages : 119 pages
Book Rating : 4.8/5 (324 download)

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Book Synopsis Analysis and Evaluation of the Eurex Repo Market Model by : Monika Gruber

Download or read book Analysis and Evaluation of the Eurex Repo Market Model written by Monika Gruber and published by diplom.de. This book was released on 2005-01-19 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: The first cross-border merger of exchanges in Europe, in 1999, happened even across the borders of the EU when the national derivatives markets of Germany and Switzerland created Eurex. In 2000, Euronext, the second big merger project, became reality. The Exchanges of Amsterdam, Paris and Brussels created a new joint platform with corporate structure. Norex, Virt-X, Newex are further merger projects. During the last decade, not only the institutional framework of exchanges has changed, but also the popularity of different products that are traded on the new platforms. Currently the derivatives market, in particular the trading with repurchase agreements, experiences major growth in Europe as well as in the U.S. The Eurex Repo platform observes a steady increase of outstanding volume, due to the fact that Eurex Repo is the only electronic market that offers repo transactions with the shortest possible term of just one night (overnight repo transaction). The goal of this paper is to analyse and to critically assess the Eurex Repo market model mentioned above, which is currently treated as the most efficient and successful trading platform for derivatives, with a specific focus on repurchase agreements. Chapter 2 aims to give answers to the following questions: What is a repurchase agreement? Which are the characteristics of repo markets in general? Which risks are associated with repos and how does the pricing of repos work? Which other instruments for liquidity management do exist for banks? The purpose of Chapter 3 is to give an overview of the derivatives market in general, past business methods, the intermediating role of banks and exchanges, and the dynamic development of the derivatives market. In addition, the Eurex market model will be described, as well as competing market players in Europe and the U.S. In Chapter 4, the main focus is put on the examination and evaluation of the Eurex Repo market model in order to investigate the key drivers in this model. Considering Eurex expansion to the U.S., where the originally European exchange is competing with the major North American exchange CBoT since February 2004, and the advance of Eurex main competitor Euronext, the future perspectives for the Eurex Repo market model will be explored. Inhaltsverzeichnis:Table of Contents: INDEX OF TABLESIII INDEX OF ILLUSTRATIONSIV ABBREVIATIONSV 1.INTRODUCTION1 2.THE NOTION OF REPURCHASE AGREEMENTS 3 2.1DEFINITION AND [...]

Analysis and Evaluation of the Eurex Repo Market Model

Author : Monika Gruber
Publisher : GRIN Verlag
ISBN 13 : 3638334392
Total Pages : 111 pages
Book Rating : 4.6/5 (383 download)

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Book Synopsis Analysis and Evaluation of the Eurex Repo Market Model by : Monika Gruber

Download or read book Analysis and Evaluation of the Eurex Repo Market Model written by Monika Gruber and published by GRIN Verlag. This book was released on 2004-12-29 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2004 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3 (A), University of Innsbruck (Banking & Finance), language: English, abstract: Europe is a leading world centre for financial markets alongside North America and the Far East. European securities exchanges play a vital role in these markets by providing companies with the opportunity to raise capital and by giving both private and institutional investors the opportunity to invest. There have been three major developments that characterise the changes in the European Exchange landscape over the past twenty years: the globalisation of financial markets, the revolutionary developments of technology, and European regulation. A growing number of companies and banks wish to raise capital in more than one country. Investors too are looking at integrated or interconnected international markets in order to maximise their return and spread their capital risk. Long term developments such as the introduction of the euro, the spread of privatisation, the growing number of pan-European mergers and the rise of the retail investor have encouraged closer cooperation and, in some cases, the integration of Europe’s formerly diverse and separate equity markets. At the same time, over the past decade, every European exchange membership has undergone a major transformation. Most have opened up to foreign-owned intermediaries. Trading is executed electronically, often from overseas. European securities exchanges have risen to these challenges in a number of ways. Several exchanges increased the number of hours during which trading can take place to enhance access. They also introduced market-making and block-trading to increase liquidity. Additionally, order handling and execution systems were refined in order to boost efficiency and to reduce settlement times. Most exchanges also improved information systems to increase transparency and access. By developing new and imaginative investment instruments investment options have been enhanced. Thus, the European exchanges of today rightly present themselves as modern, high-tech enterprises. In several European countries, whole securities market services groups have grown around the traditional exchanges. With very few exceptions, the national derivatives markets are generally found today under the same roof as the national cash markets. Some of these groups even integrated their national clearing and settlement institutions, their IT provider, information distribution services and others. [...]

Financial Market Infrastructure and Economic Integration

Author : George A Papaconstantinou
Publisher : Bloomsbury Publishing
ISBN 13 : 1509966773
Total Pages : 317 pages
Book Rating : 4.5/5 (99 download)

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Book Synopsis Financial Market Infrastructure and Economic Integration by : George A Papaconstantinou

Download or read book Financial Market Infrastructure and Economic Integration written by George A Papaconstantinou and published by Bloomsbury Publishing. This book was released on 2024-01-25 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first comprehensive study of the interplay between the cutting-edge regulation of financial infrastructure and international economic integration. It tackles a series of important questions: How does the regulation of central counterparties interact with international economic law? Is the WTO able to deal with the regulatory diversity of each country's financial rulebook? Do FTAs foster deeper integration of financial infrastructure services? Can competition law effectively tackle monopolisation and anti-competitive conduct in financial infrastructure? The book discusses how the liberalisation of financial market infrastructure is achieved within the most prominent international economic integration settings: the WTO, Economic Integration Agreements, and EU competition law. It explores whether a more harmonious relationship between financial regulation and economic integration is feasible, and how it can be achieved. The book demonstrates the existence of both structural barriers to trade and trade-facilitating tools that can impede and foster the further integration of financial market infrastructure. Measuring the depth of liberalisation of financial market infrastructure services in more than 120 FTAs, as well as surveying recent case law of the WTO, the Court of Justice of the European Union, and the practice of the European Commission, the book shows how the economic integration of financial market infrastructure occurs. An essential read for those seeking to understand how the cutting-edge regulation of financial market infrastructure and transnational systems of economic integration interact with one another.

Germany

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1475577737
Total Pages : 118 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Germany by : International Monetary Fund. Monetary and Capital Markets Department

Download or read book Germany written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2016-06-29 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the risks and vulnerabilities of the German financial system and reviews both the German regulatory and supervisory framework and implementation of the common European framework insofar as it is relevant for Germany. The country is home to two global systemically important financial institutions, Deutsche Bank AG and Allianz SE. The system is also very heterogeneous, with a range of business models and a large number of smaller banks and insurers. The regulatory landscape has changed profoundly with strengthened solvency and liquidity regulations for banks (the EU Capital Requirements Regulation and Directive IV), and the introduction of macroprudential tools.

Financial Stability Review

Author :
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.:/5 (1 download)

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Book Synopsis Financial Stability Review by :

Download or read book Financial Stability Review written by and published by . This book was released on 2009-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Banks and Capital Requirements

Author : Benjamin H. Cohen
Publisher :
ISBN 13 : 9789291311446
Total Pages : 27 pages
Book Rating : 4.3/5 (114 download)

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Book Synopsis Banks and Capital Requirements by : Benjamin H. Cohen

Download or read book Banks and Capital Requirements written by Benjamin H. Cohen and published by . This book was released on 2014 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Markets in Korea

Author : The Bank of Korea (Central Bank of South Korea)
Publisher : 길잡이미디어
ISBN 13 : 8997434950
Total Pages : 158 pages
Book Rating : 4.9/5 (974 download)

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Book Synopsis Financial Markets in Korea by : The Bank of Korea (Central Bank of South Korea)

Download or read book Financial Markets in Korea written by The Bank of Korea (Central Bank of South Korea) and published by 길잡이미디어. This book was released on 2013-11-28 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Korean economy has achieved outstanding development not only in its real economy but also in the financial sector. Driven by the expansion in economic size and by the government’s policies to foster the capital markets and increase their openness, the Korean financial market has grown by more than 17 times over the past two decades since the 1990s. Financial market quality has also been greatly enhanced due to efforts to develop the financial infrastructure and improve the transaction techniques. As a result, global interest in the Korean financial market has increased significantly. In reflection of this upgraded international standing of the Korean financial market, the Bank of Korea now publishes this English edition of ?Financial Markets in Korea? for the first time. Initially published in 1999, this book has been revised every two to three years. This English edition is published along with the 2012 revision. Although its arrival is somewhat late, we hope that it will serve readers as a solid introduction to the overall Korean financial market. This book provides an overview of the Korean financial market structure, and of recent developments related to the individual markets. Chapter 1 introduces the structure and size of the financial market as a whole, while Chapters 2 through 4 describe the funding, capital and financial derivatives markets respectively, covering their trading terms and conditions, participants,transaction mechanisms and recent developments. Detailed explanations of recent major issues concerning the financial markets, including notable developments and institutional changes, are also available in the Boxes included throughout the text. It is hoped that this book will provide readers good guidance for a better understanding of Korea’s financial markets. Money markets Ⅰ. Overview Ⅱ. Call market Ⅲ. Repurchase agreement (RP) market Ⅳ. BOK repurchase agreement (RP) market Ⅴ. Certificate of deposit (CD) market Ⅵ. Commercial paper (CP) market Capital markets Ⅰ. Overview Ⅱ. Bond market Ⅲ. Monetary Stabilization Bond market Ⅳ. Asset-backed securities (ABS) market Ⅴ. Stock market Financial derivatives markets Ⅰ. Overview Ⅱ. Equity derivatives market Ⅲ. Interest rate derivatives market Ⅳ. Foreign exchange derivatives market Ⅴ. Credit derivatives market Ⅵ. Derivatives-linked securities market

Fragilities in the U.S. Treasury Market

Author : Antoine Bouveret
Publisher : International Monetary Fund
ISBN 13 : 1513576224
Total Pages : 44 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Fragilities in the U.S. Treasury Market by : Antoine Bouveret

Download or read book Fragilities in the U.S. Treasury Market written by Antoine Bouveret and published by International Monetary Fund. This book was released on 2015-10-13 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.

The Lender of Last Resort

Author :
Publisher : Routledge
ISBN 13 : 1134358938
Total Pages : 527 pages
Book Rating : 4.1/5 (343 download)

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Book Synopsis The Lender of Last Resort by :

Download or read book The Lender of Last Resort written by and published by Routledge. This book was released on with total page 527 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Global Financial Stability Report, April 2012

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1616352477
Total Pages : 94 pages
Book Rating : 4.6/5 (163 download)

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Book Synopsis Global Financial Stability Report, April 2012 by : International Monetary Fund. Monetary and Capital Markets Department

Download or read book Global Financial Stability Report, April 2012 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2012-04-18 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The April 2012 Global Financial Stability Report assesses changes in risks to financial stability over the past six months, focusing on sovereign vulnerabilities, risks stemming from private sector deleveraging, and assessing the continued resilience of emerging markets. The report probes the implications of recent reforms in the financial system for market perception of safe assets, and investigates the growing public and private costs of increased longevity risk from aging populations.

Japan

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1484313437
Total Pages : 109 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Japan by : International Monetary Fund. Monetary and Capital Markets Department

Download or read book Japan written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2017-07-31 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the stability of the financial system in Japan. Although the financial system has remained stable, the low profitability environment is creating new risks, and pressures are likely to persist. The search for yield among banks has led some to expand their overseas activities, and more generally to a growth in real estate lending and foreign securities investments. Efforts to increase risk-based lending to small-and medium-sized enterprises are welcome, but many banks still need to develop commensurate credit assessment capacities. Stress tests suggest that the banking sector remains broadly sound, although market risks are increasing, and there are some vulnerabilities among regional banks.

Analytical Finance: Volume II

Author : Jan R. M. Röman
Publisher : Springer
ISBN 13 : 3319525840
Total Pages : 741 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Analytical Finance: Volume II by : Jan R. M. Röman

Download or read book Analytical Finance: Volume II written by Jan R. M. Röman and published by Springer. This book was released on 2017-11-30 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: • Date arithmetic’s, quote types of interest rate instruments • The interbank market and reference rates, including negative rates• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments• Risk measures of IR instruments• Option Adjusted Spread and embedded options• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension• The Heath-Jarrow-Morton framework• Forward measures and general option pricing models• Black log-normal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

The Payment System

Author : Tom Kokkola
Publisher :
ISBN 13 : 9789289906333
Total Pages : 369 pages
Book Rating : 4.9/5 (63 download)

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Book Synopsis The Payment System by : Tom Kokkola

Download or read book The Payment System written by Tom Kokkola and published by . This book was released on 2010 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book is designed to provide the reader with an insight into the main concepts involved in the handling of payments, securities and derivatives and the organisation and functioning of the market infrastructure concerned. Emphasis is placed on the general principles governing the functioning of the relevant systems and processes and the presentation of the underlying economic, business, legal, institutional, organisational and policy issues. The book is aimed at decision-makers, practitioners, lawyers and academics wishing to acquire a deeper understanding of market infrastructure issues. It should also prove useful for students with an interest in monetary and financial issues."--Introduction (Pg. 20, para 8).

Financial Markets Operations Management

Author : Keith Dickinson
Publisher : John Wiley & Sons
ISBN 13 : 1118843908
Total Pages : 485 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Financial Markets Operations Management by : Keith Dickinson

Download or read book Financial Markets Operations Management written by Keith Dickinson and published by John Wiley & Sons. This book was released on 2015-01-20 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive text on financial market operations management Financial Market Operations Management offers anyone involved with administering, maintaining, and improving the IT systems within financial institutions a comprehensive text that covers all the essential information for managing operations. Written by Keith Dickinson—an expert on the topic—the book is comprehensive, practical, and covers the five essential areas of operations and management including participation and infrastructure, trade life cycle, asset servicing, technology, and the regulatory environment. This comprehensive guide also covers the limitations and boundaries of operational systems and focuses on their interaction with external parties including clients, counterparties, exchanges, and more. This essential resource reviews the key aspects of operations management in detail, including an examination of the entire trade life cycle, new issue distribution of bonds and equities, securities financing, as well as corporate actions, accounting, and reconciliations. The author highlights specific operational processes and challenges and includes vital formulae, spreadsheet applications, and exhibits. Offers a comprehensive resource for operational staff in financial services Covers the key aspects of operations management Highlights operational processes and challenges Includes an instructors manual, a test bank, and a solution manual This vital resource contains the information, processes, and illustrative examples needed for a clear understanding of financial market operations.

Trading Volatility

Author : Colin Bennett
Publisher :
ISBN 13 : 9781461108757
Total Pages : 316 pages
Book Rating : 4.1/5 (87 download)

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Book Synopsis Trading Volatility by : Colin Bennett

Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council

The Gold Lending Market

Author : Christian Bohm
Publisher : GRIN Verlag
ISBN 13 : 3640797949
Total Pages : 85 pages
Book Rating : 4.6/5 (47 download)

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Book Synopsis The Gold Lending Market by : Christian Bohm

Download or read book The Gold Lending Market written by Christian Bohm and published by GRIN Verlag. This book was released on 2011 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 2010 in the subject Business economics - General, grade: 1,3, Humboldt-University of Berlin, language: English, abstract: This paper empirically examines a subsection of the gold market that has evolved within the last 20 years. To date, academic literature has primarily focused on analytical and empirical analyses of the physical gold market and the gold price. This study will contribute to the existing gold market literature from a different perspective: the lending market. Therefore this thesis will initially investigate how the gold lending market functions in general. This will include an analytical overview of the main transaction types, the market participants and their intentions, the gold lease rate, and the impact of central bank lending policy. Secondly, it is unclear as to what the determinants of demand and supply are for the leasing market. Linking theoretical and empirical findings from the gold market and the gold price, this thesis seeks to set up a gold lending market equilibrium. With that, the gold lease rate is derived and empirically tested. The resulting determinants of the gold lease rate are developed with quarterly time-series data from 1990 to 2009.

ASEAN+3 Bond Market Guide

Author : Asian Development Bank
Publisher : Asian Development Bank
ISBN 13 : 9290926333
Total Pages : 1485 pages
Book Rating : 4.2/5 (99 download)

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Book Synopsis ASEAN+3 Bond Market Guide by : Asian Development Bank

Download or read book ASEAN+3 Bond Market Guide written by Asian Development Bank and published by Asian Development Bank. This book was released on 2012-01-01 with total page 1485 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report contains the comprehensive reports of the ASEAN+3 Bond Market Forum Sub-Forum 1 (SF1) and Sub-Forum 2 (SF2). The SF1 report (Volume 1) analyzes the harmonization and standardization of the existing bond markets in the ASEAN+3. It also contains the individual market guides of 11 economies under the ASEAN+3 Bond Market Forum (ABMF). The SF2 report (Volume 2) provides an overview of the ASEAN+3 bond markets and their infrastructures, as well as issues confronted by each bond market in the region. It also presents bond-market infrastructure diagrams, domestic bond transaction flows, and cross-border bond transaction flows, which can help the reader to visually navigate the existing bond market infrastructures in the region. The report is the product of the collaborative efforts of the National Members and Experts and International Experts of the ABMF in cooperation with the Asian Development Bank's Office of Regional Economic Integration.