CLO Liquidity Provision and the Volcker Rule

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Klaus, Viktoria K.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hamburg : Diplomica Verlag, 2019.
Colección:Alternative Investments.
Temas:
Investments.
Investissements.
Investments
Acceso en línea:Texto completo
Tabla de Contenidos:
  • CLO Liquidity Provision and the Volcker Rule: Implications on the Corporate Bond Market
  • Vorwort
  • Table of Contents
  • List of Figures
  • List of Tables
  • Table of Abbreviations
  • Table of Symbols
  • 1. Introduction
  • 1.1. Problem Formulation
  • 1.2. Purpose of Investigation
  • 1.3. Procedure of Analysis
  • 2. Market Liquidity and the Impact of Financial Regulation
  • 2.1. Definition of Market Liquidity
  • 2.2. Measuring Market Liquidity in the Corporate Bond Market
  • 2.2.1. Spread-based Liquidity Measures
  • 2.2.2. Further Traditional Measures of Market Liquidity
  • 2.3. Recent Financial Regulation Impacting Market Liquidity
  • 2.3.1. Revision of Global Regulatory Standards through Basel III
  • 2.3.2. The Volcker Rule
  • 3. Fundamentals of Corporate Bond Trading and Regulatory Influences
  • 3.1. Infrastructure and Trading Mechanics of Corporate Bond Markets
  • 3.1.1. Limit Order Book and OTC Markets
  • 3.1.2. Types of Dealers in OTC Markets
  • 3.1.3. Market-makers' Role in Providing Liquidity
  • 3.2. Transmission Mechanism of Financial Regulation through Market Makers
  • 3.3. CLOs' Role in Bond Trading
  • 3.3.1. Structure and Purpose of CLOs
  • 3.3.2. CLOs' Regulatory Portfolio Constraints
  • 4. Data Set and Construction of Variables
  • 4.1. Description of Data Sets
  • 4.2. Spread Calculation
  • 4.2.1. Fair Values through Inter-Dealer Trades
  • 4.2.2. Fair Values through Mid Quotes
  • 4.3. Findings and Subsequent Steps
  • 5. Modelling CLO Liquidity Provision over Time
  • 5.1. Concept of Customer Liquidity Provision applied to CLOs
  • 5.2. Model based on Ratios of Spreads
  • 5.2.1. Base Regression Model
  • 5.2.2. Extension 1: Manager Size
  • 5.2.3. Extension 2: Manager Fixed Effects
  • 5.3. Model based on Spreads
  • 5.3.1. Without Control Variables
  • 5.3.2. With Control Variables
  • 5.4. Findings on CLOs' Dealer Role and Market Liquidity
  • 6. Conclusion and Outlook
  • Bibliography
  • List of Appendices

Ejemplares similares