Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk

Sakurai, Yuji; Uchida, Yoshihiko

doi:10.1016/j.jbankfin.2013.11.024

Cited by 6 publications

(4 citation statements)

References 17 publications

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“…To obtain those shares the firm would need to borrow money at the risk free rate (or higher), but making securities loans on those positions will only earn back less than that. Also many lending desks might chose to make loans in these securities as part of a broader loan arrangement with other securities or they could bundle it up with other securities as collateral for other positions: (Sakurai and Uchida, 2014;Duffie et al, 2015;Fuhrer et al, 2016) 13 . Given their low contribution to the P&L, these securities are not to be placed in the top short ranking, irrespective of the values of other factors.…”

Section: E Rmentioning

confidence: 99%

Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets

Kashyap

2021

Accounting & Finance

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We consider in detail an investment strategy, titled ‘the bounce basket’, designed for someone to express a bullish view on the market by allowing them to take long positions on securities that would benefit the most from a rally in the markets. We demonstrate the use of quantitative metrics and large amounts of historical data towards decision‐making goals. This investment concept combines macroeconomic views with characteristics of individual securities to beat the market returns. The central idea of this theme is to identity securities from a regional perspective that are heavily shorted and yet are fundamentally sound with at least a minimum buy rating from a consensus of stock analysts covering the securities. We discuss the components of creating such a strategy including the mechanics of constructing the portfolio. Using simulations, in which securities lending data is modelled as geometric Brownian motions, we provide a few flavors of creating a ranking of securities to identity the ones that are heavily shorted. An investment strategy of this kind will be ideal in market scenarios when a downturn happens due to unexpected extreme events and the markets are anticipated to bounce back thereafter. This situation is especially applicable to incidents being observed, and relevant proceedings, during the Coronavirus pandemic in 2020–2021. This strategy is one particular way to overcome a potential behavioural bias related to investing, which we term the ‘rebound effect’.

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Section: E Rmentioning

confidence: 99%

Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets

Kashyap

2021

Accounting & Finance

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“…These findings illuminate the need of market discipline-a requirement of Basel 3. Moreover, analysing the "credit immigration" of collateral derivatives, Sakurai et al (2014) recommend that off-balance-sheet leverage makes default risk of derivatives dealers increase. The authors aim to analyse the collateral derivatives.…”

Section: 4mentioning

confidence: 99%

“…The authors aim to analyse the collateral derivatives. So, this study will discuss more depth the matter of Sakurai et al (2014) in the next section. Gibson et al (2013) investigates the effects of margining while banks use credit derivatives.…”

Section: 4mentioning

confidence: 99%

“…The authors use "a jump-to-default model" to prove their opinion. Sakurai et al (2014) assures that a rehypothecation derivative dealer can earn from this instrument by its positive relationship with default risk of rehypothecation, and it is the price of a derivative trade. Sakurai et al believe that "over-collateralization by Initial Margin plays an important role in determining the relationship between the risk and the return of rehypothecation.".…”

Section: 4mentioning

confidence: 99%

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Agent-Principal Problem, Stewardship Theory and Behavioural Agency Model in the Explanation of Family Business Performance

Farkas¹

2016

12th Annual International Bata Conference

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Kosovo does not have a bond market which would enable companies, people and other economic agents to have access to it, that would have been a substitute for the companies to get other sources of funds beside banking sector. The Kosovo economy has only one source of institutional money injected into the economy and that is the banking industry. Bringing back the money of Kosovo Pension and Saving Trust (KPST) to Kosovo would have been a huge injection for the economy to raise GDP and lower unemployment. Since the companies in Kosovo contain a lot of asymmetric information within their financial statements, clearing the way for KPST how to allocate their investments in Kosovo would be through alleviating asymmetric information. The paper stands on the general concepts of the asymmetric information and how to alleviate it within the financial market and particularly within the bond market. The other part of the paper concentrates on theoretical framework how to eliminate asymmetric information for the companies who want to get funding from KPST. Therefore, it is necessary to have healthy banks and better environment to have a sound bond market. On the other hand, bond market may increase the health of banks by enhancing market competition.

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Investor behavior, information disclosure strategy and counterparty credit risk contagion

Wang

Chen

2019

Chaos, Solitons & Fractals

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Rehypothecation dilemma: Impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk

Cited by 6 publications

References 17 publications

Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets

Behavioural Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets

Agent-Principal Problem, Stewardship Theory and Behavioural Agency Model in the Explanation of Family Business Performance

Investor behavior, information disclosure strategy and counterparty credit risk contagion

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