2) Mark-to-market 按市值计价;逐日盯市 3) Mark to Market 盯市 4) mark-to-market risk 盯市风险 1. This article introducesmark-to-market riskinto the conventional futures hedging framework. 本文把盯市风险引入传统的期货套期保值框架,论证了在考虑盯市风险的情况下,一个关注每日最大亏损值的套期保值者...
Mark to market accountingInterest rate riskHedgingFuturesWe investigate the effect of marking-to-market on an optimal futures hedge under stochastic interest rates. An intertemporal optimal hedge ratio that accounts for basis risk and marking-to-market is derived. This ratio includes all previous ...
Marking to market gives a more realistic value about the assets of a business or a company depicting the current valuation of the asset which tells us how much will the company receive in exchange of the assets based on the prevailing conditions in the market. The drawback with mark to mark...
to respondto marketopportunities or to investor preferences.MODIFIED DURATION: The percentchange in pricefor a 100basis pointchange in yields. Modified duration is the best single measure of a portfolio's or security's exposure tomarket risk. MONEY MARKET:The marketin which short-term debt...
MarkingtoMarket,Liquidity andFinancialStability GuillaumePlantin HareshSapra HyunSongShin 12 th InternationalConference IMES,BankofJapan May30-31,2005 Themes •Mark-to-marketaccountingimpactson financialstability •Thephenomenonof“reachingforyield” (muchdiscussedatthemoment)owesmuch tomarkingtomarket. ...
网络释义 1. 逐日盯市 盯市型模型,Mark-to-Market... ... ) Mark-To-Market model “盯市”模型 )marking-to-market逐日盯市... www.dictall.com|基于7个网页 2. 逐日盯价 Unit Two - 豆丁网 ... equal to the gap 等于其差额 1 05)marking-to-market逐日盯价1 06) ... ...
Research on Risk of Stock Index Futures Market Based on EGARCH Model Volatility is an important indicator to measure the risk of financial market.The EGARCH model is established by using the logarithmic yield of the China Se... Yu,QF Wang,ZHU 被引量: 0发表: 2019年 Derivatives markets in ...
Three essays on investment and risk assessment in emerging-market countries. Using an event study methodology for 204 investment decisions of privatized telecom firms, we find tepid support for the mainstream view and find strong support for the alternative view in emerging-market contexts.; The seco...
We propose a tractable model to analyze the e¤ect of liquidity shocks on asset prices when banks are subject to capital adequacy requirement and mark their assets to market. We show that a negative liquidity shock can bind banks'capital requirement and increase the volatility, price impact, and...
In this way, we provide a market based measure of the liability incurred by the Governments, due to the implicit bail-out guarantees they provide to the financial sector. We find that during the financial crisis the systemic component of the default risk in the banking sector has significantly...