Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Oleg Sokolinskiy"'
Autor:
Andrew Meldrum, Oleg Sokolinskiy
Publikováno v:
Finance and Economics Discussion Series. :1-43
We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a novel framework for quantifying price impact. We show that at times of relatively low volatility, marginal trades that go with the flo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::327f4e4cbfd7323f15f3dd75c072cb32
https://doi.org/10.17016/feds.2023.028
https://doi.org/10.17016/feds.2023.028
Publikováno v:
International Finance Discussion Paper. 2022:1-37
Using responses of credit default swap indexes to ECB monetary policy announcements, we isolate a novel credit policy component of monetary policy surprises. We examine how such unconventional monetary policy surprises affect investor perceptions of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3649643f4769a08b1c6102dbcb5e7996
https://doi.org/10.17016/ifdp.2022.1357
https://doi.org/10.17016/ifdp.2022.1357
Autor:
Oleg Sokolinskiy
Publikováno v:
Review of Quantitative Finance and Accounting. 55:389-426
Strengthening of asset return dependence during the 2007–2008 credit crisis highlighted its dynamic and conditional nature. Option prices reflect the market assessment of how dependence between assets varies with price movements and time horizons,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3cf20a1c99ed82acb2a94e0225dd1b7f
https://doi.org/10.1007/s11156-019-00847-y
https://doi.org/10.1007/s11156-019-00847-y
Publikováno v:
Review of Quantitative Finance and Accounting. 55:269-304
When markets are opaque, market participants rely to a large extent on end-of-day consensus prices published by service providers; such as in the case of the single name credit default swaps (CDS) market. End-of-day consensus CDS prices are critical
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::70d80cd707bdcadf978deb96ab8e2d75
https://doi.org/10.1007/s11156-019-00843-2
https://doi.org/10.1007/s11156-019-00843-2
This chapter defines and studies a class of cash conversion systems in firms, consisting of a funds pool, a single-product Make-to-Stock inventory, and a receivables pool. The system implements a perpetual flow cycle where funds convert to product an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6cf0501479937df75b318036827bd984
https://doi.org/10.1142/9789811202391_0046
https://doi.org/10.1142/9789811202391_0046
Publikováno v:
Annals of Operations Research. 271:971-997
We consider a limited-liability firm that owns a finite single-product inventory subject to periodic-review replenishment and a corporate treasury that mediates the firm’s financial transactions related to inventory operations. The firm may elect t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ac1919f3bd5fe834551948a6c3e0f85
https://doi.org/10.1007/s10479-018-2965-1
https://doi.org/10.1007/s10479-018-2965-1
Publikováno v:
Decision Sciences. 50:118-141
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ba94d4c8bd71b46e0654b35718930b8
https://doi.org/10.1111/deci.12316
https://doi.org/10.1111/deci.12316
Autor:
Oleg Sokolinskiy
Publikováno v:
Review of Quantitative Finance and Accounting. 52:1065-1084
This paper introduces a structural scenario-based model with debt rollover risk and a higher-fidelity treatment of the bankruptcy procedure. The emerging stock price process is a generalized Brownian motion with state-dependent local volatility, and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::68efcea57266b3eb54cb6eaa2fd2dda7
https://doi.org/10.1007/s11156-018-0736-3
https://doi.org/10.1007/s11156-018-0736-3
Publikováno v:
Manufacturing & Service Operations Management. 19:604-619
This paper models a cash conversion system in a subsidiary of a parent company where there is an active internal capital market, but otherwise the subsidiary has no access to additional external funds. The cash conversion system consists of a treasur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::347380276c4868999605bcf2c84d3021
https://doi.org/10.1287/msom.2017.0625
https://doi.org/10.1287/msom.2017.0625