Calendar

Fév
24
ven
Research Seminar Labex ReFi -The Behavior of Dealers and Clients on the European Corporate Bond Market: the Case of Multi-Dealer-to-Client Platforms, with Olivier Guéant, Université Paris 1 Panthéon Sorbonne
Fév 24 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

Olivier Guéant

(CV & Bio here)

Université Paris 1 Panthéon Sorbonne

will present

The Behavior of Dealers and Clients on the European Corporate
Bond Market: the Case of Multi-Dealer-to-Client Platforms

Abstract :

For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven (i.e., dealer-driven) rather than order-driven, the market for corporate bonds is still mainly dominated by voice trading, but a lot of electronic platforms have emerged. These electronic platforms make it possible for buy-side agents to simultaneously request several dealers for quotes, or even directly trade with other buy-siders. The research presented in this talk is based on a large proprietary database of requests for quotes (RFQ) sent, through the multi-dealer-to-client (MD2C) platform operated by Bloomberg Fixed Income Trading, to one of the major liquidity providers in European corporate bonds. Our goal is (i) to model the RFQ process on these platforms and the resulting competition between dealers, and (ii) to use our model in order to implicit from the RFQ database the behavior of both dealers and clients on MD2C platforms.

 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
Room 4310
Feb 24, 2017
 
For security reason, please register before the deadline.
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

 Abstract 

Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They need indeed to propose bid and offer/ask prices in an optimal way for making money out of the difference between these two prices (their bid-ask spread). Since they seldom buy and sell simultaneously, and therefore hold long or short inventories, they also need to mitigate the risk associated with price changes, and subsequently skew their quotes dynamically. In this paper, (i) we propose a general modeling framework which generalizes (and reconciles)thevariousmodelingapproachesproposedintheliteraturesincethepublication of the seminal paper “High-frequency trading in a limit order book” by Avellaneda and Stoikov, (ii) we prove new general results on the existence and the characterization of optimal market making strategies, (iii) we obtain new closed-form approximations for the optimal quotes, (iv) we extend the modeling framework to the case of multi-asset market making, and (v) we show how the model can be used in practice in the specific (and original) case of two credit indices.

 

 (Past and coming events)
Mar
3
ven
Research Seminar, ReFi – Jennifer Arlen – New York University (NYU)
Mar 3 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

Jennifer Arlen

New York University (NYU)

(CV & Bio here)

 

TBC

 
 (Consult the paper tbc)
 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 3 mars 2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.
Deadline : 2 mars 2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

 (Past and coming events)
Mar
10
ven
Research Seminar, ReFi – Pitfalls in Systemic-Risk Scoring – Christophe Pérignon – HEC Paris
Mar 10 @ 12 h 00 min – 13 h 30 min

15

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

 

Christophe Pérignon

HEC Paris

(CV & Bio here)

 

Pitfalls in Systemic-Risk Scoring

Abstract :

We identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these short-comings and increases incentives for banks to reduce their risk contributions. Unlike the current scores, our adjusted scores are mainly driven by risk indicators directly under the control of the regulated bank and not by factors that are exogenous to the bank, such as exchange rates or other banks’ actions.

 
 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 10 mars  2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.
Deadline: 9 mars 2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

 (Past and coming events)
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