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  • U.S. Economic Outlook And Monetary Policy Transmission, Federal Reserve Vice Chair Philip N. Jefferson, At "Beyond The Business Cycle: Adapting To A New Global Paradigm" 65th Annual Meeting Of The National Association For Business Economics, Dallas, Texas

    Date 09/10/2023

    Introduction
    Thank you for inviting me to join this conference and for the kind introduction. It is a pleasure to be here.

    Before I begin, let me remind you that the views I will express today are my own and are not necessarily those of my colleagues in the Federal Reserve System.

  • ISDA derivatiViews: Easy Access To Contractual Data

    Date 09/10/2023

    In today’s uncertain world, it’s all too easy to imagine a new market event that sends everyone scrambling to sift through mountains of contractual agreements to ascertain the impact on their derivatives trades. That’s always been a slow, operationally intensive process at a time when speed is usually of the essence. Fortunately, the integration of two key industry platforms will make that process a lot easier.

  • FIA September 2023 SEF Tracker

    Date 09/10/2023

    Trading volume on swap execution facilities reached $1.12 trillion in average notional value per day during September 2023. This was up 17.2% from the previous month and up 35.9% from the same month of the previous year. Compared to August 2023, trading was up in every sector, with FX trading volume hitting a record high.

  • Pirum Trials Distributed Ledger Technology (DLT) For Securities Lending And Repo

    Date 09/10/2023

    Pirum have successfully tested a DLT extension of their securities lending and repo post-trade solution. This DLT innovation would provide clients with an immutable, transparent, and distributable golden-record of their trades for reference, audit and other purposes, and builds on existing post-trade lifecycle workflow and automation, fed from well-established real-time client books and record data integrations. 

  • BIS: The Cumulant Risk Premium

    Date 09/10/2023

    Many episodes of market turbulence, including the Covid-19 crisis in March 2020, show that asset returns are not normally distributed and that higher-order moments play an important role in financial markets. This raises two questions: (1) What are the implications of higher-order moments for standard finance models? (2) How can the risk premium of higher-order moments across asset classes be measured in a tractable way? In this paper, we show that leveraged ETFs can be used as an alternative to options for measuring the risk of higher-order moments, and we quantify this risk across equities, bonds, commodities, currencies and volatility. To quantify the exposure to higher-order moments in a tractable way, we use the concept of cumulants, which are close relatives to the moments of a given distribution.

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