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On Swing Pricing and Systemic Risk Mitigation

2017-07-18 Business & Economics
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Release : 2017-07-18
Genre : Business & Economics
Kind : eBook
Book Rating : 152/5 ( reviews)

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Book Synopsis On Swing Pricing and Systemic Risk Mitigation by : Sheheryar Malik

Download or read book On Swing Pricing and Systemic Risk Mitigation written by Sheheryar Malik. This book was released on 2017-07-18. Available in PDF, EPUB and Kindle. Book excerpt: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.

Swing Pricing and Fragility in Open-end Mutual Funds

2019-11-01 Business & Economics
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Release : 2019-11-01
Genre : Business & Economics
Kind : eBook
Book Rating : 492/5 ( reviews)

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Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin

Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin. This book was released on 2019-11-01. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.

On Swing Pricing and Systemic Risk Mitigation

2017-07-18 Business & Economics
Download On Swing Pricing and Systemic Risk Mitigation PDF Online Free

Author :
Release : 2017-07-18
Genre : Business & Economics
Kind : eBook
Book Rating : 876/5 ( reviews)

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Book Synopsis On Swing Pricing and Systemic Risk Mitigation by : Sheheryar Malik

Download or read book On Swing Pricing and Systemic Risk Mitigation written by Sheheryar Malik. This book was released on 2017-07-18. Available in PDF, EPUB and Kindle. Book excerpt: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.

Quantifying Systemic Risk

2013-01-24 Business & Economics
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Release : 2013-01-24
Genre : Business & Economics
Kind : eBook
Book Rating : 964/5 ( reviews)

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Book Synopsis Quantifying Systemic Risk by : Joseph G. Haubrich

Download or read book Quantifying Systemic Risk written by Joseph G. Haubrich. This book was released on 2013-01-24. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.

A financial system that creates economic opportunities

2017 Financial services industry
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Release : 2017
Genre : Financial services industry
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis A financial system that creates economic opportunities by : Steven T. Mnuchin

Download or read book A financial system that creates economic opportunities written by Steven T. Mnuchin. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt: "President Donald J. Trump established the policy of his Administration to regulate the U.S. financial system in a manner consistent with a set of Core Principles. These principles were set forth in Executive Order 13772 on February 3, 2017. The U.S. Department of the Treasury (Treasury), under the direction of Secretary Steven T. Mnuchin, prepared this report in response to that Executive Order. The reports issued pursuant to the Executive Order identify laws, treaties, regulations, guidance, reporting, and record keeping requirements, and other Government policies that promote or inhibit federal regulation of the U.S. financial system in a manner consistent with the Core Principles."--Executive summary

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