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An Analysis of the Impact of 'Substantially Heightened' Capital Requirements on Large Financial Institutions
Financial Institutions Governing Rules Regulations and Reforms Capital Equity Financing and Loans
2015/5/12
We examine the impact of "substantially heightened" capital requirements on large financial institutions, and on their customers. Our analysis yields three main conclusions. First, the frictions assoc...
Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Modeling and Pricing of Covariance Correlation Swaps Financial Markets Semi-Markov Volatilities Pricing of Securities
2012/6/5
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...