| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20540 |
| 来源ID | Working Paper 20540 |
| Robust Benchmark Design | |
| Darrell Duffie; Piotr Dworczak | |
| 发表日期 | 2014-10-06 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Recent scandals over the manipulation of LIBOR, foreign exchange benchmarks, and other financial benchmarks have spurred policy discussions over their appropriate design. We characterize the optimal fixing of a benchmark as an estimator of a market value or reference rate. The fixing data are the reports or transactions of agents whose profits depend on the fixing, and who may therefore have incentives to manipulate it. If the benchmark administrator cannot detect or deter the strategic splitting of trades, we show that the best linear unbiased fixing is the commonly used volume-weighted average price (VWAP). |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w20540 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578214 |
| 推荐引用方式 GB/T 7714 | Darrell Duffie,Piotr Dworczak. Robust Benchmark Design. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Darrell Duffie]的文章 |
| [Piotr Dworczak]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Darrell Duffie]的文章 |
| [Piotr Dworczak]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Darrell Duffie]的文章 |
| [Piotr Dworczak]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
