We analyze whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, and especially, for bonds with high credit risk. We use a unique data set covering more than 20,000 bonds, between October 2004 and December 2008. We employ a wide range of liquidity measures and and that liquidity effects account for approximately 14% of the explained market-wide corporate yield spread changes. Moreover, we find that the economic impact of the liquidity measures is significantly larger in periods of crisis and for speculative grade bonds. (authors' abstract)

The following study aims to examine the success of using option-implied volatility to forecast realized volatility in derivative markets as the preferred market practice. The approach adopted by this study was to compare realized volatility against the monthly average forecast over the period 2005 to 2010. The data selection spanned across currency and commodities markets; short and long-term horizons; before and after the global financial crisis; as well as developed and developing (emerging) markets. To test the success of the forecasting technique, the study used the T-test to test the sample means for any statistical differences between the means of the forecast variable (optionimplied volatility) and the realized variable. The data for the study was obtained from BloombergTM. The findings across all research question showed that this forecasting technique has performed poorly in general for various reasons. There are different arguments in literature as to which forecasting method works best and under what conditions, some practitioners prefer using historical data methods others prefer more technical methods such as the GARCH 1.1. The use of financial derivatives to mitigate financial risk has become a common practice for organizations with a global presence; however market volatility poses a great risk to the financial stability of these organizations. Forecasting volatility continues to be a challenge for market practitioners. / Dissertation (MBA)--University of Pretoria, 2013. / Gordon Institute of Business Science (GIBS) / unrestricted

After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. In simple terms CCR is a mix of Market and Credit risk which defines the risk that your counter party will go into bankruptcy. CCR involves the risk factors used in market risk since all of the derivatives are based on underlying assets such as interest rate and currencies. The thesis will focus on how one can backtest individual risk factors driving the value of OTC derivatives. We will present different Monte Carlo simulation techniques that are being used to simulate and represent all possible future outcomes for the risk factors. In order to better understand the performance of a chosen model and how to adjust the calibration window for the ingoing parameters, two different approaches are presented,Quantitative Backtesting and Statistical Backtesting. As an extension to this, a portfolio of interest rate Swaps are backtested whose value are driven by the evolution of the underlying risk factors. The backtesting ofthe portfolio is done with netting. The time horizon for the backtesting procedureis 2010-2020 giving the user up to 261 independent observations with a forecast length of 14 days. Both of the backtesting methods provide the practitioner with a graphical results guiding the user to choose an appropriate model and calibration method for simulating the risk factors. We found that a combination of the two approaches provides the best result. Hence, no backtesting method is superior the other. Instead they complement each other and should be used simultaneously. Using the two backtesting methods one can find a model that perfectly fit the underlying distribution of risk factors, theoretically. However, one should be careful since there will always be uncertainty about the future and there is no guarantee that tomorrow will follow historical evolution exactly.

Suite à la crise financière de 2007, un ensemble de réglementations a été mis en place au niveau mondial, dont EMIR en Europe. Parmi les obligations engendrées par ce texte, il y a l’obligation de déclarer à l’autorité de tutelle toutes les opérations de produits dérivés traitées de gré à gré. Ceci dans le but d’augmenter la transparence sur ces marchés. L’objectif de mon travail étant de démontrer que cela n’est en fait pas le cas. Pour cela, j’explore deux principaux axes. Le premier concerne la déclaration effective des transactions et le traitement de ces informations par les autorités de tutelle. J’exploite pour cela les données publiques relatives à cette problématique et également les informations dont je dispose dans le cadre de mon travail. Les données sont relativement bien déclarées mais ne sont pas ou très peu exploitées par les autorités de tutelle. Le second axe est plus théorique. L’information ne conduit pas nécessairement à la transparence. Ce qui est important pour le bon fonctionnement des marchés dérivés est la symétrie de l’information et la confiance entre les intervenants. / Following the financial crisis of 2007, a set of regulations was implemented, including EMIR in Europe. Among the obligations arising from this text, there is an obligation to declare to the regulatory authority all OTC transactions. The goal is to increase transparency on OTC markets. My objective is to demonstrate that this is not actually the case. For that, I explore two main axes. The first one concerns the implementation of the reporting obligation and the analysis of this data by regulators. For this purpose, I use the public data on this issue and also the private data from my work. The data are relatively well reported but not fully exploited by the regulatory authorities. The second axis is more theoretical. Information does not necessarily lead to transparency. The symmetry of information and trust between OTC’s participants are the most important.

Marknadsförutsättningarna för en utveckling av den svenska marknaden för högavkastande företagsobligationer är idag bättre än någonsin. För första gången är bankerna motiverade att hjälpa svenska företag med marknadsfinansiering via exempelvis företagsobligationer. Tidigare har denna verksamhet setts som konkurrerande till bankernas egen lånefinansiering. Regulatoriska förändringar, såsom Basel III, ligger till grund för denna nya viktiga förutsättning.   Det händer saker på bred front och mycket sker samtidigt. Nya aktörer och organisationer har bildats, färdiga marknadsplatser för högavkastande företagsobligationer finns nu att tillgå. Fler regulatoriska förändringar har skett och kommer att ske framöver. Syftet med dessa regulatoriska förändringar är bland annat att förbättra transparensen på markanden och öka intresset för ränteplaceringar som alternativ till aktieplaceringar för vissa institutionella investerare.   Rapportens resultat motiverar en utveckling av den svenska marknaden för högavkastande företagsobligationer, med fler emittenter och fler emitterade instrument. Den uteblivna avkastningen och det volatila beteendet av den svenska aktiemarknaden de sista 12 åren, motiverar investerare att se sig om efter alternativa placeringar. När marknadsräntorna är rekordlåga blir företagsobligationer ett mycket intressant alternativ.   Kunskapsnivåerna behöver dock höjas både hos framtida potentiella emittenter och hos investerare. Större resurser hos befintliga intermediärer och kanske fler aktörer kommer att krävas för att klara av det ökade behovet av obligationsfinansiering hos de svenska företagen. Fler emitterade instrument och en bättre transparens på marknaden kommer att ge investerare bättre möjligheter att utvärdera förväntad avkastning och de risker som finns förknippade med detta placeringsalternativ.   Huruvida högavkastande företagsobligationer kommer att bli ett framtida sparalternativ för svenska sparare är lite osäkrare. Fler emissioner av högavkastande företagsobligationer tros komma redan den närmaste tiden, medan det kan ta längre tid för den nya potentiella sparformen att etablera sig bland investerare. En ökning av detta placeringsalternativ hos svenska sparare kommer förmodligen att ske succesivt, men i vilken mån denna sparform på sikt etablerar sig återstår att se.

This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated.After some conceptual background material, a journey is taken through theregulatory aspects of CVA. The three most commonly used methods for calculatingthe regulatory CVA capital charge are explained in detail and potentialchallenges with the methods are addressed. Further, the document analyses ingreater depth two of the methods; the internal model method (IMM) and thecurrent exposure method (CEM). The differences between these two methods areexplained mathematically and analysed. This comparison is supported bysimulations of portfolios containing interest rate swap contracts with differenttime to maturity and of counterparties with varying credit ratings. Oneconcluding observations is that credit valuation adjustment is a measure of centralimportance within counterparty credit risk. Further, it is shown that IMM has someimportant advantages over CEM, especially when it comes to model connection withreality. Finally, some possible future work to be done within the topic area is suggested.

Background and purpose: Celebrity endorsements have a profound impact on consumers’ purchases and lifestyles. Pharmacists and student pharmacists must be aware of celebrity endorsements of over-the-counter (OTC) medications and dietary supplements to properly advise patients regarding safety and effectiveness, or lack thereof, of endorsed products. Educational activity and setting: An application-based activity was utilized in a self-care course to apply OTC medication and dietary supplement regulations to celebrity endorsements of these products. Students were asked to identify a celebrity endorsement of a product, providing: (1) the product endorsed, (2) celebrity endorser, (3) location of the endorsement, (4) summary of the endorsement and the endorsement itself, (5) assess if the endorsement violated any regulations, and (6) assess if the endorsement was in disagreement with evidence-based resources. Findings: Student pharmacists concluded that 30% of celebrity endorsements violated laws and regulations while 35% concluded the claims made were not supported by evidence-based literature. Interestingly, student pharmacists who selected the same endorsements did not always arrive at the same conclusions. Studied endorsements were frequently found to be in violation of laws and regulations governing OTC medications and dietary supplements and frequently were not supported by evidence-based literature. The activity described provides an innovative active-learning strategy to teach laws and regulations affecting OTC medications and dietary supplements.

No description available.

This study investigates the political sources of change in the regulatory authority for over-the-counter (OTC) derivatives that were brought about by the global financial crisis of 2008. OTC contracts have grown in popularity since the 1980s as firms in advanced market economies have increasingly used them to mitigate their exposure to international economic volatility. However, their proliferation also contributed to complex webs of financial interconnectedness that served to exacerbate the global financial crisis. In the wake of the crisis, public officials across the industrialized economies sought to reform this vast market, which previously had been exempt from direct public regulatory oversight. This dissertation documents a marked shift in regulatory authority after the crisis from a regime that reflected the preferences of the United States and United Kingdom for a deregulated model to a regulatory model that reflected new regulatory preferences in the United States and the European Union. The dissertation examines alternative explanations for this shift to a new Transatlantic regulatory consensus. It finds limited support for materialist theories based on market power, which contend that the degree of convergence around the preferences of one country should be proportional to its market power. Instead, it finds support for an agent-centered historical institutionalist approach that explains the shift in regulatory authority with attention to how marginalized regulatory actors mobilized to have their preferences realized during the implementation of post-crisis OTC reform in the United States and the European Union. / Political Science

Oxytetracycline (OTC) is one of two antibiotics currently available and approved by the U.S. Food and Drug Administration for use as a chemotherapeutic agent in food fish and is widely used in the aquaculture industry. Previous pharmacokinetic studies of OTC have been conducted in cold water and warm water species of fish. However, no pharmacokinetic studies have been conducted on a cool water species such as yellow perch (Perca flavescens). The yellow perch is a cool water game and commercial species with high aquaculture potential. The pharmacokinetic profiles of oxytetracycline (OTC) was determined by measuring plasma concentrations in yellow perch following intraperitoneal (i.p.), intramuscular (i.m.), per os (p.o.), and intracardiac (i.c.) administration at a single dose of 50 mg/kg body weight. Using a modification of a high-performance-liquid-chromatographic (HPLC) technique, the plasma OTC concentrations were determined for each of the four routes of administration. Plasma concentrations were also evaluated in yellow perch exposed to a static 48-hour OTC water bath (100 mg/l). The terminal half-lives (t1/2) of OTC in yellow perch for i.p., i.m., p.o., and i.c. administrations were 112, 124, 50, and 28 h, respectively. The t1/2 for the i.m. route of administration was significantly longer than in any of the published i.m. OTC fish studies to date. However, the times of maximum OTC concentration (tmax) for the i.p., i.m. and p.o. administrations (2, 4, and 15 h, respectively) occurred relatively early in the plasma concentration-time curves. This suggests, that in yellow perch, OTC is initially absorbed very rapidly. The area under the plasma concentration-time curves (AUC) for the i.p., i.m., p.o., and i.c. routes of administration were 1718, 2659, 383, and 134 mcg·h/ml, respectively. No OTC was detected in the plasma of yellow perch following the water bath route of exposure. Finally, in yellow perch, effective therapy (plasma OTC concentrations above MIC values for most bacteria pathogenic to fish — 4 mcg/ml) would be achieved for up to 168 hours following a single i.p. or i.m. injection of 50 mg/kg and for up to 15 hours following a single p.o dose of 50 mg/kg. / Master of Science