Margin—collateral or funds that investors deposit with their counterparties—is a crucial
component of the practice of borrowing money to fund investment. While margin offers the …

In this paper, we demonstrate that the funding value adjustments (FVAs) of major dealers
are debt overhang costs to their shareholders. To maximize shareholder value, dealer …

We use arbitrage activity in equity, fixed income, and foreign exchange markets to
characterize the frictions and constraints facing intermediaries. The average pairwise …

In this study, a simulation model has been established to forecast the stock price index of
Borsa Istanbul (BIST100) and 5 year maturity credit default swap spreads (CDSs) with an …

1.2 Il debt overhang è aumentato 113 1.3 La liquidità fornita dai dealer 122 1.4 Il teorema
Modigliani-Miller e la sostituzione delle attività 124 1.5 L'impatto sui mercati degli swap 126 …

We provide direct evidence of how dealers' funding liquidity affects their liquidity provision in
securities markets. Worse funding liquidity (higher repo haircuts and rates) leads to larger …

We examine the effect of funding liquidity changes on futures market liquidity, depending on
economic sentiment. Futures market liquidity improves following negative funding liquidity …

I build a search model of bond and credit default swap (CDS) markets with endogenous
investor participation and show that shorting bonds through CDS increases the liquidity and …

In this paper, we conduct two investigations regarding funding liquidity risk in large
emerging economies: Brazil, Russia, India, China, and South Africa—BRICS. In the first, we …

Focusing on the most liquid segment of the European CDS market, this paper studies the
impact of a key standardization reform, known as the CDS Small Bang. We document that …