MISO seeks credit policy changes to protect traders from market default exposure

Jasmin Melvin

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MISO seeks credit policy changes to protect traders from market default exposure

机译：MISO寻求信贷政策变更，以保护交易者免受市场违约风险

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With an eye on further mitigating the risk future defaults in thefinancial transmission rights market could pose to market participants,Midcontinent Independent System Operator proposed addingminimum collateral and mark-to-auction provisions to its FTR creditcollateral requirements.Grid operators are expected, under the US Federal EnergyRegulatory Commission’s policy on electric creditworthiness, toimplement credit policies that limit market participants' exposure tocosts tied to defaults.

机译：为了进一步减轻金融传输权市场未来违约可能给市场参与者带来的风险，中大陆独立系统运营商提议在其FTR信贷抵押要求中增加最低抵押品和标价竞价条款。能源监管委员会关于电力信誉度的政策，旨在实施限制市场参与者承受违约成本的信贷政策。

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《Platts Megawatt Daily》 |2019年第15期|5-5|共1页
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Jasmin Melvin;
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1. MISO seeks credit policy changes to protect traders from market default exposure [J] . Jasmin Melvin Inside FERC . 2019,第Octa21期

机译：MISO寻求信贷政策变更，以保护交易者免受市场违约风险
2. MISO seeks credit policy changes to protect traders from market default exposure [J] . Jasmin Melvin Platts Megawatt Daily . 2019,第OCTa15期

机译：MISO寻求信贷政策变更，以保护交易者免受市场违约风险
3. MISO seeks credit policy changes to protect traders from market default exposure [J] . Jasmin Melvin Inside FERC . 2019,第OCTa21期

机译：MISO寻求信贷政策变更，以保护交易者免受市场违约风险
4. Intra-Industry Credit Contagion Evidence from the Credit Default Swap Market and the Stock Market [C] . Gaiyan Zhang 2005 China International Conference in Finance (CICF 2005) . 2005

机译：信用违约掉期市场和股票市场的行业内信用传染证据
5. Intra-industry credit contagion: Evidence from the credit default swap market and the stock market. [D] . Zhang, Gaiyan. 2005

机译：行业内信用传染：来自信用违约掉期市场和股票市场的证据。
6. Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work? [O] . Sorin Gabriel Anton, Anca Elena Afloarei Nucu 2020

机译：中央和东欧国家的主权信用违约互换和股票市场：在工作中是反馈效果吗？
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

MISO seeks credit policy changes to protect traders from market default exposure

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