A nalytic variance-covariance value-at-risk is an established technique for measuring exposure to market-based financial risk (Smithson, 1996i and 1996ii). Given a description of the market characteristics and the user’s portfolio, the objective of VAR is to determine how much value might be lost over a given time, with a given level of probability, in a given currency. For example, JP Morgan’s...

Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where CCPs are necessary to implement efficient trade when trades are time-critical, liquidity is limited and there is limited enforcement of trades. We then show that – when collateral is sufficient to avoid default – profit-maximizing CCPs “overcollateralize” trades rel...

We use Hasbrouck (1991)’s vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of trades, the speed of price adjustment to trade related information, and the positive autocorrelation...

We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid) to investigate on two main issues. First, we characterize the division of roles between borrowers and...

A trade in a complex Hadamard matrix is a set of entries which can be changed to obtain a different complex Hadamard matrix. We show that in a real Hadamard matrix of order n all trades contain at least n entries. We call a trade rectangular if it consists of a submatrix that can be multiplied by some scalar c 6= 1 to obtain another complex Hadamard matrix. We give a characterisation of rectang...

We formulate and study the requirement on an allocation rule that no agent should be able to benefit by augmenting his endowment through borrowing resources from the outside world (alternatively, by simply exaggerating it). We show that the Walrasian rule is not “borrowing-proof” even on standard domains. More seriously, no efficient selection from the endowments-lower-bound correspondence, or ...

one of the issues in the field of inheritance is the inheritance of credential-right by the wife from the husband’s trades. unfortunately, iranian statute law has not specified this verdict, and article 445 of civil law merely states that: ‘each of the credentials, after death, is transferred to the heir.’ although the ruling is applicable to the mentioned article regarding the inheritance of c...

virtual water adds a new dimension to crop trades and provides a new way of thinking about water scarcity. a systematic analysis of virtual water flows requires integration of all critical drivers of virtual water flows under a single consistent framework. the aim of this study was to assess virtual water flows related to trades of grain crops (wheat, corn, rice, and coarse cereals) and their i...