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FRM二級培訓講義-基礎班Current
Issues2021FrameworkCurrent
IssuesBeyond
LIBORReplacing
LIBORMachine
LearningAIandMLinfinancialservicesClimateChange-PhysicalRiskandEquityTheGreen
SwanWhenSellingBecomesViralMarketsintheTimeof
COVID-19FinancialCrimeinTimesof
COVID-1910.CyberRiskandtheUSFinancialSystem購課后務必加唯一售后微信;xuebajun888s3-841.Beyond
LIBOR購課后務必加唯一售后微信;xuebajun888s4-84A.AnIdealReference
RateAnIdealReferenceRateNotsusceptibletomanipulation.Derivedfromactualtransactionsinliquidmarkets.Serveasabenchmarkforbothtermlendingand
funding.購課后務必加唯一售后微信;xuebajun888s5-84B.Problemswith
LIBORIssuesthatledtothereplacementof
LIBOR①Constructedfromasurveyofbanks
reporting.ThiscreatedamplescopeforpanelbankstomanipulateLIBORsubmissions.②Sparseactivityininterbankdeposit
markets.③Thedispersionofindividualbankcreditrisk.LIBORaimstocapturecommonbankrisk.④Regulatoryandthemarketwanttoreducecounterpartycreditriskininterbankexposures,bankshavealsotiltedtheirfundingmixtowardslessriskysourcesofwholesale
funding.購課后務必加唯一售后微信;xuebajun888s6-84C.SelectOvernightReference
RatesAlternativeRFRsinFiveCurrency
Areas購課后務必加唯一售后微信;xuebajun888s7-84C.SelectOvernightReference
RatesAlternativeRFRsinFiveCurrency
Areas購課后務必加唯一售后微信;xuebajun888s8-84D.RisksofRFRsintheRepo
MarketRisksofRFRsintheRepo
MarketO/Nreporatecannotreflectbank’smarginalfunding
costs.Banks’asset-liabilitymanagementis
challenging.Whenunderstress,reporatescanmoveintheoppositewayofunsecured
rates.TheforcesdrivingunsecuredO/Nrates(includingcreditrisk)pulledtheserateshigherastheunsecuredinterbankmarkets
froze.Atthesametime,theforcesdrivingsecuredO/NrateswerepullingthemlowerowingtoacollateralshortageandflighttosafetyForlongertenors,termratesbasedonnewRFRsarelikelytodeviatepersistentlyfromtheirLIBORcounterpartseveninnormal
times.TransitionIssues:themigrationoflegacyLIBOR-linkedexposurestothenewbenchmarksafter
2021.購課后務必加唯一售后微信;xuebajun888s9-842.Replacing
LIBOR購課后務必加唯一售后微信;xuebajun888s10-84A.The
FactsPublicationofLIBOR–theLondonInterbankOfferedRate–willlikelyceaseattheendof
2021.after2021,theFCAwouldnolongercompelreluctantbankstorespondtotheLIBOR
survey.then,theFCAcoulddeclareLIBORrates‘unrepresentative’offinancialrealityanditwill
vanish.購課后務必加唯一售后微信;xuebajun888s11-84B.RisksWhenLIBOR
EndsThesystemicriskposedbythecessationof
LIBOR.①Thefirstarisesfromthelegacycontractsreferencing
LIBOR.WhenpublicationofLIBORstops(orisexpectedtostop),contractsthatlackadequatefallbackprovisionsmayplungein
value.Totheextentthatlarge,leveragedintermediariesareexposed,theresultinglossescouldimpairtheircapital,leavingusinthedarkaboutwhichinstitutionsarehealthyandwhichare
not.②Thesecondissueiswhether,whenLIBORceases,therewillbean
adequatesubstitutethatallowsintermediariesbothtofundthemselves
inaliquidmarketandtoprovidecredit.購課后務必加唯一售后微信;xuebajun888s12-84C.Current
ProblemsWheredothingsstand
now?First,thereremainplentyofdollarLIBORlegacycontracts
outstanding.thelatestavailabledataarenearlythreeyearsold,andtheindustrycontinuestocreateLIBOR-linkedcontracts,westronglysuspectthatthesenumbersunderstatethe
challenge.Second,thereisnocentralrepositoryprovidinginformationaboutwhat,ifany,fallbacklanguageexistsinthesecontracts.WithoutLIBOR,whathappens?Inadequatefallbacklanguagefostersuncertaintyaboutthevalueoftheassets,andcouldtriggerawaveof
lawsuits.Third,whiletheprocessofcreatingasatisfactoryreplacementfordollarLIBORiswelladvanced,itisfarfrom
complete.Thereislittletimefor
testing.購課后務必加唯一售后微信;xuebajun888s13-84D.TheGovernment’sRoleinthe
TransitionFourveryimportantrolesforgovernment
officials.①Thegreaterthecertaintyabouttheenddate,thefastertheLIBORtransitionwillbe.Authoritiescanfurtherintensifywarningsaboutthe
imprudenceofrelyingon
LIBOR.②Supervisorsmustensurethatallsystemicallyimportantbanksandfinancialmarketutilitiesarefully
prepared.③Thereremainsaremarkableabsenceofup-to-datedataonLIBOR-linked
instruments.購課后務必加唯一售后微信;xuebajun888sregulatorsshouldgatherandpublishdatashowingtheevolution
ofLIBORexposure(includinginformationonfallbacklanguage)atleastquarterly.④BecausetheLIBORtransitionwilldirectlyaffectmanyhouseholdsandsmallbusinesseswithLIBOR-linkeddebt,itisimportantforauthorities(includingtheConsumerFinancialProtectionBureau)topromotepublicawarenessofthechanges
underway.購課后務必加唯一售后微信;xuebajun888s14-843.Machine
Learning購課后務必加唯一售后微信;xuebajun888s15-84A.
IntroductionTheDriving
ForcesMoredetailsof
reporting.High-frequency,unstructuredlowqualityconsumer
data.Big
dataPredictionversus
ExplanationStatisticalmethodsaregoodforexplanation.MLisgoodfor
prediction.購課后務必加唯一售后微信;xuebajun888s16-84B.Backgroundto
MLSupervised
LearningDependentvariableyis
known.Unsupervised
LearningDependentvariableyis
lacking.購課后務必加唯一售后微信;xuebajun888s17-84B.Backgroundto
MLMachineLearning
MethodsRegressionAsupervisedML
problem.Topredictacontinuousdependentvariable
y.Afactorisaddedtopenalisecomplexityinthe
model.ClassificationAdiscrete
problem.ClusteringAnunsupervisedML
problem.購課后務必加唯一售后微信;xuebajun888s18-84B.Backgroundto
MLOverfittingFitthedatasamplevery
well.Performpoorlywhentested
out-of-sample.Havingtoomany
parameters.WaystoDealwith
OverfittingBoosting:overweightscarcerobservationsinatraining
dataset.Bagging:amodelisrunthousandsoftimes,eachona
differentsubsampleofthe
dataset.Averageallthe
runs.Randomforest:amodelconsistingofmanydifferentdecision
trees.Ensemble:averagetheresultingmodelwithmanyotherML
models.購課后務必加唯一售后微信;xuebajun888s19-84C.ThreeUseCases①CreditRiskandRevenue
ModelingDifficultiesin
UsageModelscanbesensitivetooverfittingthe
data.Hardforanyhumantounderstand.②
FraudDetectionofCreditCard
FraudClearhistoricaldatawithrelevantfraudlabelstotrain
classification.③SurveillanceofConductandMarketAbusein
TradingApplication:Monitorthebehaviourof
traders.ChallengestoApplyingMLNolabeleddatatotrain
algorithms.Blackboxes:hardtoexplaintoacompliance
officer.Countermeasure:incorporateshuman
decisions.BarriertotheImplementationofAutomated
SurveillanceInformationfromdifferentsourcescouldbemutually
incompatible.購課后務必加唯一售后微信;xuebajun888s20-844.AIandMLinFinancial
Services購課后務必加唯一售后微信;xuebajun888s21-84A.Backgroundand
definitionsAschematicviewofAI,machinelearningandbigdata
analytics購課后務必加唯一售后微信;xuebajun888s22-84B.
DriversAvarietyoffactorsthathavecontributedtothegrowinguseofFinTechgenerallyhavealsospurredadoptionofAIandmachinelearninginfinancialservices.購課后務必加唯一售后微信;xuebajun888s23-84C.SelectedFourUse
Cases①Customer-focused
UsesCreditScoring
ApplicationsUseforPricing,MarketingandManagingInsurance
PoliciesClient-facing
Chatbots②Operations-focused
UsesCapitalOptimisationUseCaseModelRiskManagementandStress
TestingMarketImpact
Analysis購課后務必加唯一售后微信;xuebajun888s24-84C.SelectedUse
Cases③TradingAndPortfolio
ManagementAIMLinTrading
ExecutionScopefortheUseofAIMLinPortfolio
Management.④AIMLInRegulatoryComplianceAnd
SupervisionRegTech:ApplicationsbyFinancialInstitutionsforRegulatoryCompliance.UsesforMacroprudentialSurveillanceandDataQuality
Assurance.SupTech:UsesandPotentialUsesbyCentralBanksandPrudentialAuthorities.UsesbyMarketRegulatorsforSurveillanceandFraud
Detection.購課后務必加唯一售后微信;xuebajun888s25-84D.Micro-financial
AnalysisPossibleEffectsOfAIMLonFinancial
MarketsImprovementCollectandanalyseinfoonagreater
scale.Lowertradingcosts.ConcernsSimilarAIMLprogrammes=>correlated
risks.Couldbeusedbyinsiderstomanipulate
market.購課后務必加唯一售后微信;xuebajun888s26-84D.Micro-financial
AnalysisPossibleEffectsofAIMLonFinancial
InstitutionsBenefitingSystem-wide
StabilityIncreaserevenuesandreduce
costs.Earlierandmoreaccurateestimationof
risks.Collaborationbetweenfinancialinstitutionsandother
industries.DrawbacksMissnewtypesof
risks.Blackboxesin
decision-making.Forintermediaries:alackofclarityaround
responsibility.Third-party
dependencies.購課后務必加唯一售后微信;xuebajun888s27-84D.Micro-financial
AnalysisPossibleEffectsofAIMLonConsumersand
InvestorsANumberof
BenefitsConsumers:lowerfeesandborrowing
costs.Wideraccesstofinancial
services.Facilitatemorecustomisedfinancial
services.ConcernsDataprivacyandinformationsecurity.Avoidingdiscrimination.購課后務必加唯一售后微信;xuebajun888s28-84E.Macro-financialAnalysisMarketConcentrationandSystemicImportanceof
InstitutionsAffectthedegreeof
concentrationAsmallnumberofadvancedthird-party
providers.Technologiesaffordableonlytolarge
companies.Reducethesystemicimportanceoflargeuniversal
banks.Universalbanks’vulnerabilitytosystemicshocksmay
grow.Networksand
InterconnectednessGreaterinterconnectednessinthefinancial
system.Helptoshare
risks.Butalsospreadtheextreme
shocks.購課后務必加唯一售后微信;xuebajun888s29-84E.Macro-financial
AnalysisPotentialMarket
VulnerabilitiesGreaterdiversityinmarket
movements.Lesspredictabletrading
algorithms.Increase
liquidity.Moreeffectivehedging
strategies.Reducerelianceonbankloans.Minimisecapital=>morerisk.OtherImplicationsOfAIML
ApplicationsReducethedegreeofmoralhazardandadverse
selection.Higherpremiumsforriskier
consumers.Entail
biases.ForRegTechand
SupTech‘Game’regulatory
rules.購課后務必加唯一售后微信;xuebajun888s30-845.ClimateChange
-PhysicalRisk
andEquity購課后務必加唯一售后微信;xuebajun888s31-84A.
IntroductionTheprojectedincreaseinthefrequencyandseverityofdisastersduetoclimatechangeisapotentialthreattofinancial
stability.Extremeweatherevents—orclimatichazards—canturnintodisastersthatcauselossoflifeandcapitalstock,aswellasdisruptionstoeconomicactivity.thereactionsofeconomicagents(includinggovernments)tothesechanges,inparticularthrough
adaptation.transitionriskresultingfrompolicy,technology,legal,andmarketchangesthatoccurduringthemovetoalow-carbon
economy.購課后務必加唯一售后微信;xuebajun888s32-84B.PhysicalRiskandFinancial
StabilityFromtheperspectiveofphysicalrisk,climatechangecanaffectfinancialstabilitythroughtwomain
channels.①First,currentclimaticdisastersaffectcredit,underwriting,market,operational,andliquidity
risks.②Second,theshiftsinexpectationsandattentionaboutfutureclimaticdisasterscanaffectassetvaluestoday.購課后務必加唯一售后微信;xuebajun888s33-84Theimpactonequitypricescaninformfinancialstabilityassessmentsforatleasttwo
reasons.①widespreaddestructionoffirms’assetsandproductivecapacityora
dropindemandfortheir
products.②thereactionofthestockpricesoffinancialinstitutionsprovidesasummarymeasureoftheextenttowhichtheseinstitutionsareaffectedby
disasters.anopportunitytoincreaseunderwritingvolumesandpremiums
forinsurance
companies.C.PhysicalRiskandEquity
Prices購課后務必加唯一售后微信;xuebajun888s34-84C.PhysicalRiskandEquity
PricesEmpirical
evidence:購課后務必加唯一售后微信
xuebajun888s①onaverage,therehasbeenonlyamodestresponseofstockpricestolargeclimatic
disasters.Results,however,varyconsiderablyacross
disasters.HurricaneKatrina(2005)v.s.the2011floodsin
Thailand.②Amongfinancialsectorfirms,largedisastershaveastatisticallysignificanteffect
onthereturnsofnon–lifeinsurersinadvancedeconomies,butnosignificantreactioninemergingmarketanddeveloping
economies.apossiblereason:alargeshareofinsuranceinemergingmarketanddevelopingeconomiesisprovidedbysubsidiariesofinsurerslisted
abroad.購課后務必加唯一售后微信;xuebajun888s35-84D.InsurancePenetrationandSovereignFinancial
StrengthRegardlessofthesizeoffutureclimaticshocks,insurancecoverageandsovereignfinancialstrengthwillbekeyfactorsinmaintainingfinancialstability.Insurance
penetrationRisk-sharing
mechanisms.E.g.insurance,weatherderivatives,andcatastrophe
bonds.Sovereignfinancial
strengthIncreasetheabilityofthegovernmenttorespondtodisastersthroughfinancialreliefandreconstruction
efforts.Increaseitscapacitytooffersomeformsofexplicitinsuranceprograms.購課后務必加唯一售后微信;xuebajun888s36-846.TheGreen
Swan購課后務必加唯一售后微信;xuebajun888s37-84A.BlackSwanandGreen
SwanBlackswaneventshavethree
characteristics①theyareunexpectedandrare,therebylyingoutsidetherealmofregularexpectations;②theirimpactsarewide-rangingor
extreme;③theycanonlybeexplainedafterthe
fact.OthercharacteristicsofBlackswan
eventsTakemanyshapes,fromaterroristattacktoadisruptivetechnologyoranatural
catastrophe.Theseeventstypicallyfitfattailedprobability
distributions,cannotbepredictedbyrelyingonbackward-lookingprobabilisticapproachesassumingnormaldistributions(eg.value-at-risk
models).Suchanepistemologicalpositioncanprovidesomeformofhedgingagainstextremerisks(turningblackswansinto“grey”ones)butnotmakethem
disappear.購課后務必加唯一售后微信;xuebajun888s38-84A.BlackSwanandGreen
SwanGreenswans,or“climateblackswans”,presentmanyfeaturesoftypicalblack
swans.Climate-relatedriskstypicallyfitfat-tailed
distributions.theirchancesofoccurrencearenotreflectedinpastdata,andthepossibilityofextremevaluescannotberuled
out.assessingclimate-relatedrisksrequiresan“epistemologicalbreak”withregardtorisk
management.購課后務必加唯一售后微信;xuebajun888s39-84A.BlackSwanandGreen
SwanGreenswansaredifferentfromblackswansinthree
regards.①First,althoughtheimpactsofclimatechangearehighlyuncertain,thereisahighdegreeofcertaintythatsomecombinationofphysicaland
transitionriskswillmaterializeinthe
future.②Second,climatecatastrophesareevenmoreseriousthanmostsystemic
financial
crises.③Third,thecomplexityrelatedtoclimatechangeisofahigher
orderthanforblack
swans.購課后務必加唯一售后微信;xuebajun888s40-84B.Monetary
InstabilityClimate-relatedshocksarelikelytoaffectmonetarypolicythroughsupply-sideanddemand-sideshocks,andtherebyaffectcentralbanks’pricestability
mandate.Supply-side
shockspressuresonthesupplyofagriculturalproductsandenergyareparticularlypronetosharppriceadjustmentsandincreased
volatility.reduceeconomies’productive
capacity.Demand-sideshocksreducinghouseholdwealthand
consumption.Climatemitigationpoliciescouldalsoaffectinvestmentinsomesectors.Insum,theimpactsofclimatechangeoninflationareunclear
partlybecauseclimatesupplyanddemandshocksmaypullinflationandoutputinoppositedirections,andgenerateatrade-offforcentralbanksbetweenstabilisinginflationandstabilisingoutput
fluctuations.購課后務必加唯一售后微信;xuebajun888s41-84B.Monetary
InstabilityTraditionally,ifthereisapresumptionthattheimpactistemporary,theresponsecanbetowaitandseeasitdoesnotaffectpricesandexpectationsonapermanent
basis.However,climate-relatedshockhasmorelastingeffects,therecouldbemotivestoconsiderapolicyreaction,however,thereareatleastthreechallenges.①Climatechangeisexpectedtomaintainitstrajectoryforlongperiodsof
time(cyclicalinstrumentscanleadtostagflationarysupplyshocksthatmonetarypolicymaybeunabletofully
reverse).②Climatechangeisaglobalproblemthatdemandsaglobalsolution,whereasmonetarypolicyseems,currently,tobedifficulttocoordinatebetweencountries
.③Evenifcentralbankswereabletore-establishpricestabilityafteraclimate-relatedinflationaryshock,thequestionremainswhetherthey
wouldbeabletotakepre-emptivemeasures
tohedgeexanteagainstfat-tailclimate
risks.購課后務必加唯一售后微信;xuebajun888s42-84C.FinancialInstabilityClimate-relatedrisksareasourceoffinancialrisk.
Therearetwomainchannelsthroughwhichclimatechangecanaffectfinancial
stability.Physicalrisks:are“thoserisksthatarisefromtheinteractionofclimate-relatedhazards[…]withthevulnerabilityofexposuretohumanandnatural
systems”.Transitionrisk:areassociatedwiththeuncertainfinancialimpactsthatcouldresultfromarapidlow-carbontransition,includingpolicychanges,reputationalimpacts,technologicalbreakthroughsorlimitations,andshiftsinmarketpreferencesandsocial
norms.購課后務必加唯一售后微信;xuebajun888s43-84C.FinancialInstabilityPhysical
risks①Thedestructionofcapitalandthedeclineinprofitabilityofexposedfirmscouldinduceareallocationofhouseholdfinancial
wealth.②affecttheexpectationoffuturelosses,whichinturnmayaffectcurrentriskpreferences.③non-insuredlossescanthreatenthesolvencyofhouseholds,businessesandgovernments,andthereforefinancialinstitutions.Insuredlosses,mayplaceinsurersandreinsurersinasituationoffragilityasclaimsfordamageskeep
increasing.④increasedspeedofcapital
depreciation.⑤mightnothavesufficientcapitaltoabsorbclimate-relatedlossesaspossibilityofextremevaluescannotberuled
out.購課后務必加唯一售后微信;xuebajun888s44-84C.Financial
InstabilityTransition
riskArapidandambitioustransitiontoloweremissionspathwaysmeansthatalargefractionofprovenreservesoffossilfuelcannotbeextracted,becoming“stranded
assets”.Moreover,thevalueaddedofmanyothereconomicsectors
dependentonfossilfuelcompanieswillprobablybeimpactedindirectlybytransition
risks.
Forinstance,theautomobileindustrymaybestronglyimpacted
astechnologies,pricesandindividualpreferences
evolve.購課后務必加唯一售后微信;xuebajun888s45-84C.FinancialInstabilityPhysicalandtransitionrisksareusuallyassessedseparately,giventhecomplexityinvolvedineachcase.However,theyshouldbeunderstoodaspartofthesameframeworkandasbeing
interconnected.購課后務必加唯一售后微信;xuebajun888s46-84C.FinancialInstabilityPhysicalandtransitionriskscanmaterialiseintermsoffinancialriskinfivemainways,withmanysecond-roundeffectsandspillovereffectsamongthem.購課后務必加唯一售后微信;xuebajun888s47-84D.Policy
ResponsesCentralbanksmustalsobemoreproactiveincallingforbroaderandcoordinatedchange,inordertocontinuefulfillingtheirownmandatesoffinancialandpricestabilityoverlongertimehorizonsthanthosetraditionally
considered.theycanbestcontributetothistaskinarolethatwecallthefiveCs:contributetocoordinationtocombatclimate
change.Thiscoordinatingrolewouldrequirethinkingconcomitantlywithinthreeparadigmaticapproachestoclimatechangeandfinancialstability:①
risk②time
horizon③system
resilience購課后務必加唯一售后微信;xuebajun888s48-84D.Policy
Responses①The
risks購課后務必加唯一售后微信;xuebajun888s49-84D.Policy
Responses②Thetime
horizon購課后務必加唯一售后微信;xuebajun888s50-84D.Policy
Responses③Thesystem
resilience購課后務必加唯一售后微信;xuebajun888s51-847.When
SellingBecomes
Viral購課后務必加唯一售后微信;xuebajun888s52-84A.AggregateChangesinDebt
PricesPricemovementsduringtheCOVID-19
crisis.購課后務必加唯一售后微信;xuebajun888s53-84A.AggregateChangesinDebt
PricesComparingwiththeGreatFinancialCrisisof
2008-2009購課后務必加唯一售后微信;xuebajun888s54-84A.AggregateChangesinDebt
PricesHowabnormalaretheprice
movements?Thepricedropsforcorporatedebt,whilesmallerintermsofabsolutesize,areofsameorderofmagnitudeasthestock
market.ComparingwiththeGreatFinancialCrisisof2008-2009.SimilarityIntermsofmagnitude,thiscomparisonhighlightsthattheMarch2020declineinpricesiscomparabletotheworsthistoricalepisodes.However,thetwoepisodesdifferonacoupleofimportantdimensions.DifferencesInthe2008episode,high-yieldbondscloselytrackthestockmarket,whileinvestmentgradedeclinesbymuch
less.Anothersalientaspectistheextremelyhighspeedatwhichassetpricemovementstakeplaceintherecent
episode.購課后務必加唯一售后微信;xuebajun888s55-84B.DisruptionsinthePricingof
DebtSynchronizationof
DislocationsCDS-Bond
BasisAnegativebasisindicatesthatthebondischeaprelativetoaportfoliothatapproximatelyreplicatesthebondcash-?owwithtreasuriesandtheCDS.Whilethisimplementationisnotanexactarbitragetrade,themagnitudeofthebasiswedocumentappearsdif?culttoreconcilewithfrictionless
pricing.ETF-NAVBasisTheusuallymoreliquidETFbecomescheaperthanitsmoreilliquidcounterpart,thebondportfolio.Thedistancebetweenthetwoislarge,withtheETFtradingat5%lowerthanthereportedvalueoftheunderlyingbond
portfolio.ThisdeviationrepresentsaboutaquarteroftheoverallpricedropfortheETFduringthis
period.ComparingthevariousETFsallowsustoruleoutmoremechanicalinterpretationsofthebasis.OnesuchinterpretationisthatpricesusedtocomputetheNAVaresomewhat
stale.購課后務必加唯一售后微信;xuebajun888s56-84C.TheEffectoftheFed’s
InterventionsTheFederalReserve’sInterventionsinDebt
Markets購課后務必加唯一售后微信;xuebajun888s57-84C.TheEffectoftheFed’s
InterventionsEventStudyAroundPolicy
Announcements①Debt
Prices.Theannouncementofpurchasesofinvestment-gradebondsonMarch23increasesthepriceoftheinvestment-gradeETFby6%.Thisdiscreteshiftupstandsincontrasttostocksorhigh-yieldbonds,thatdonotseeany
movement.ThedramaticexpansionofthebondpurchaseprogramsonApril9alsohasalargeimpactonprices,butwithaverydifferentempiricalsignature.Weobserveastrongrecoveryacrossmarkets,witharesponsemoreinlinewith
riskiness.購課后務必加唯一售后微信;xuebajun888s58-84C.TheEffectoftheFed’s
InterventionsEventStudyAroundPolicy
Announcements②CreditDefault
Swaps.WecomplementthisanalysisbylookingattheresponseofCDSspreads,usinghigh-frequencyvariationintheinvestment-gradeandhigh-yieldCDX
baskets.Forbothdates,weseethatCDSspreadsstayinlinewiththeleveloftheprevioustradingdayintheearlyhoursofthemorning.Theythenjumpdownrightaftertheannouncements,inlinewithourhypothesisthattheFedreleasesarewhattriggeredthesharppricemovements.Asecondadvantageofconsideringthisdataisthatithelpsseparatewhethertherecoveryaftertheannouncementoccursthroughoutcreditinstruments,orre?ectsaclosureof
disruptions.購課后務必加唯一售后微信;xuebajun888s59-84D.ExplanationsofPrice
MovementsWhatExplainsthePriceMovementsinDebt
Markets?Frictionlessviewsofassetmarketsfocusingoncashflowandeconomy-wideriskpremiumeffectscannoteasilyexplainthedisruptionsindebtmarketswehave
documented.Theoriesoffinancialfrictionsandlimitstoarbitrageshowmorepromise,buthereaswellourevidencehelpsdifferentiatevariousmechanisms.購課后務必加唯一售后微信;xuebajun888s60-84D.ExplanationsofPrice
MovementsFrictionlessExplanationsFundamental
distressA?rstexplanationforthedropinpriceexperiencedacross
marketsisthatexpectedpayoffsoftheassetshavedramatically
decreased.Risk
compensationsIfbondpricesdidnotdropduetoafallincash-flowexpectations,ithastobethatbondshadhighexpectedreturnslooking
forward.
購課后務必加唯一售后微信;xuebajun888s61-84D.ExplanationsofPrice
MovementsFinancial
FrictionsThesetheoriesarepromisingbecausetheyentertaindeviationsfromthelawofonepriceandcangenerateampli?cationeffectsthatleadpricesinsomemarketstodepartfrom
fundamentals.Wediscuss?rstthenatureofwhatpreventeddealersfromsteppingin,thentheoriginsoftheselling
pressure.Dealers,facingtheirownconstraints,areunabletoabsorbthissellingpressureuntiltheycanfindinvestorswillingtobuytheassetsatareasonable
valuation.Somemarketsfacespecificfinancialconstraintsthatpromptsthemtoliquidateacertainsubsetofpositions.Investorsspecializeindifferentsetsofsecuritie
溫馨提示
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