Money and Finance: Ethical Considerations

Argandoña, Antonio

doi:10.2139/ssrn.2900938

Cited by 1 publication

(2 citation statements)

References 61 publications

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“…Moral hazard is a topical issue very well known in the financial literature. Argandoña (2016), among others, remarks the idea that people blame the financial power for creating profit opportunities at the expense of other people or taking excessive risks. This criticism has particularly hardened after the global financial crisis, the manipulation of LIBOR (London Interbank Offered Rate) and exchange rates, the capture of financial regulators by the bankers' lobby, bankers' collusion in money laundering and tax evasion operations, among others financial manipulation techniques.…”

Section: Pricing Derivatives: Ethical Implications and Moral Hazardmentioning

confidence: 99%

“…Table A1 summarizes the main characteristics and conclusions of the literature analysed on moral hazard. Researches on moral hazard address different aspects such as ethical problems in financial institutions, markets, and securities (Argandoña, 2016), moral hazard in Islamic portfolios (Ashraf & Khawaja, 2016; Khan, 2010), asset valuation (Ou‐Yang, 2005), and derivatives (Chade & Swinkels, 2020).…”

Section: Pricing Derivatives: Ethical Implications and Moral Hazardmentioning

confidence: 99%

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Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds

2020

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There are alternative providers of zero-coupon yield curve datasets. This essential input for most financial purposes can also be estimated from crosssectional market price information. Although all these datasets are representations of the same reality, each dataset provides estimations from different baskets of assets and different fitting techniques. As the properties of the yield curves and their time series dynamics are different, the results of pricing interest rate derivatives may be sensitive to the choice among these datasets. We compare our own spot rates estimation from GovPX bond data and three popular available interest rate datasets. From an empirical exercise on pricing callable bonds, we observe relevant differences in economic terms when volatilities from different inputs are used. Therefore, financial institutions may have an incentive for choosing unduly one or another yield curve dataset in their self-interest, raising a moral hazard problem.

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Section: Pricing Derivatives: Ethical Implications and Moral Hazardmentioning

confidence: 99%

Section: Pricing Derivatives: Ethical Implications and Moral Hazardmentioning

confidence: 99%

Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds

2020

View full text Add to dashboard Cite

show abstract

Money and Finance: Ethical Considerations

Cited by 1 publication

References 61 publications

Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds

Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds

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