By Greg N. Gregoriou
Authoritative, updated learn and research that offers a dramatic new knowing of the rewards-and risks-of making an investment in CTAs
Commodity buying and selling Advisors (CTAs) are an more and more renowned and probably ecocnomic funding replacement for institutional traders and high-net-worth members. Commodity buying and selling Advisors is without doubt one of the first books to review their functionality intimately and study the "survivorship bias" found in CTA functionality facts. This e-book investigates the numerous advantages and dangers linked to CTAs, analyzing the risk/return features of a few diverse concepts deployed by way of CTAs from a worldly investor's standpoint. A contributed paintings, its editors and contributing authors are between cutting-edge major voices with regards to commodity buying and selling advisors and a veritable "Who's Who" in hedge fund and CTA research.
Greg N. Gregoriou (Plattsburgh, new york) is a vacationing Assistant Professor of Finance and examine Coordinator within the university of commercial and Economics on the kingdom college of recent York. Vassilios N. Karavas (Amherst, MA) is Director of study at Schneeweis companions. Francois-Serge Lhabitant (Coppet, Switzerland) is a popularity learn Fellow, and a Professor of Finance at EDHEC (France) and at HEC collage of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal pupil within the finance application at McGill collage.
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Extra info for Commodity Trading Advisors - Risk, Performance Analysis, And Selection
Indd 11 01/02/2013 13:24 Systemic Risk Assessment and Oversight without incurring losses. However, if the project is liquidated at fire-sale prices, the last bank in the chain would not be able to pay back the next to last bank, and so on, resulting in losses in the whole banking system. The combination of vanishing funding and market liquidity creates loss spirals where initial losses are compounded by fire-sale assets, further depressing asset prices. In turn, falling asset prices hurt firms’ balance sheets, triggering further sales (Brunnermeier and Pedersen, 2009).
But as is the case with the banking system, the shadow banking system is inherently fragile and vulnerable to a run since it also relies on leverage and short-term funding. 3 The maturity and liquidity transformation performed by shadow banking is achieved by raising short-term funds. The funds are typically transformed into long-term, illiquid assets. These assets can serve as collateral, which can be rehypothecated to increase leverage and boost returns (Singh and Aitken, 2010). Rising leverage helps market-based intermediaries to expand their balance sheets and ease funding conditions across markets (Adrian and Shin, 2012).
RATINGS-BASED METHODS The importance of credit registries for pricing credit efficiently and facilitating access to credit for the corporate and household sectors has grown rapidly over the last few years. This growth has been driven by changes in banking practices and the increased availability of information technologies. This section explains how credit ratings information compiled by credit registries can be used to estimate default probabilities. indd 36 01/02/2013 13:24 Fundamental Information and Firm-level Risk estimation principle first advanced by Pluto and Tasche (2005).