Dealer Polling with Noisy Reporting of Interest Rates

Autor:	Jeremy Berkowitz
Rok vydání:	1999
Předmět:	Economics and Econometrics Guard (information security) Actuarial science media_common.quotation_subject Economics Market manipulation Worst-case scenario Polling Interest rate swap Finance Interest rate media_common Valuation (finance)
Zdroj:	The Journal of Fixed Income. 9:47-54
ISSN:	2168-8648 1059-8596
DOI:	10.3905/jfi.1999.319229
Popis:	The values of interest rate swaps and many other financial assets are functions of rates or prices determined in over–the–counter, interbank, or other off–exchange markets. Settlement contracts rely on rates routinely collected through dealer polling. Many standard contracts use a technique knows as trimmed means to guard against misreporting, whether unintentional or for market manipulation. The author examines this and other robust valuation procedures. Simulation indicates that other procedures may better guard against the worst case scenario arising from a false report.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::410ade187f0d3494a3137f3eaa7532f9 https://doi.org/10.3905/jfi.1999.319229 Zobrazit plný text záznamu