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 | M.Sc. Sven PanzOrganizations:
- Professur für Betriebswirtschaftslehre, insbesondere e-Finance
- E-Finance Lab
Projects:Telephone: +49 69 798 33857 |
Publications | Presentations |
Publications:
2018
Gomber, P.; Clapham, B.; Panz, S. (2018)
Management of Market Price Risks: Regulation and Coordination of Volatility Interruptions in Europe
In: FIRM Yearbook 2018, pp. 167-168; Association for Risk Management and Regulation, Frankfurt
Category: Miscellaneous [Find it]
Reference No.: 2018-190
Gomber, P.; Clapham, B.; Lausen, J.; Panz, S. (2018)
The Impact of MiFID II/MiFIR on European Market Structure: A Survey among Market Experts
In: The Journal of Trading, Vol. 13, No. 2, pp. 35-46
Category: Publications in journals [Find it]
AbstractThis study presents the views of leading financial market experts concerning the impact of MiFID II/MiFIR on the European market structure and the future relative importance of different types of trading venues and over-the-counter (OTC) trading. In an online questionnaire among experts on trading and/or market structure, 111 respondents shared their opinions concerning the impact of the MiFIR trading obligation, dark pool volume caps, the new trading venue category organized trading facility (OTF) for non-equities, and the impact of Brexit.
Reference No.: 2018-186
Gomber, P.; Clapham, B.; Lausen, J.; Panz, S. (2018)
The MiFIR Trading Obligation: Impact on Trading Volume and Liquidity
In: Working Paper; to be presented at the 35th Annual Conference of the French Finance Association (AFFI 2018); Paris, France
Category: Working papers [Find it]
AbstractThe new financial market regulation MiFID II / MiFIR will fundamentally change the trading and market infrastructure landscape in Europe. One key aspect is the trading obligation for shares that intends to restrict over-the-counter (OTC) trading to ensure that more trading takes place on regulated trading venues and on platforms of Systematic Internalisers (SIs). In this context, market observers often argue that SIs might have a competitive advantage due to the best execution concept in combination with the possible exemption of SIs from the tick size regime. Applying scenario analysis, we determine the likely migration of OTC trading volume to regulated trading venues and SIs. Based on our data set, covering intraday data including OTC trades as well as order book snapshots of EURO STOXX 50 constituents on major European venues, we investigate how changes in trading volume influence liquidity on lit markets. The results of our scenario analysis indicate that liquidity on lit markets might increase due to additional turnover formerly traded OTC. However, also a negative liquidity effect for lit markets and for the price discovery process is possible because of increased trading via SIs.
Reference No.: 2018-185
2017
Panz, S. (2017)
Spillover Effects during Extraordinary Market Conditions
In: Working Paper; presented at the 5th Paris Financial Management Conference (PFMC 2017); Paris, France
Category: Working papers
Reference No.: 2017-179
Clapham, B.; Gomber, P.; Lausen, J.; Panz, S. (2017)
Liquidity Provider Incentives in Fragmented Securities Markets
In: Working Paper; presented at the 24th Annual Meeting of the German Finance Association (DGF 2017), the 5th Paris Financial Management Conference (PFMC 2017), and the 21st Annual Conference of the Swiss Society for Financial Market Research (SGF 2018)
Category: Working papers [Find it]
AbstractWe study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the Xetra Liquidity Provider Program at Deutsche Boerse from two perspectives: First, we investigate whether fee-rebates for liquidity providers enhance liquidity on the specific venue thereby increasing its competitiveness and market share. Second, we analyze whether single-market liquidity provider incentives increase overall market liquidity available for market participants in a fragmented market. For this purpose, we consolidate high-frequency order book information of the most relevant lit venues and measure the specific liquidity contribution of individual markets to the aggregate liquidity in the fragmented market environment. Our empirical results show that single-market liquidity provider incentives in fragmented markets result in increased liquidity on the respective market, a higher contribution of that market to consolidated liquidity and gains in market share in terms of trading volume. However, we find no significant effect for turnover and liquidity of the fragmented market as a whole but a redistribution to the venue offering the incentives.
Reference No.: 2017-149
Clapham, B.; Gomber, P.; Panz, S. (2017)
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
In: Working Paper; presented at the CEPR-Imperial-Plato Inaugural Market Innovator (MI3) Conference; London, UK, the 24th Annual Meeting of the German Finance Association (DGF 2017); Ulm, Germany and the SFA 2017; Key West, Florida, United States
Category: Working papers [Find it]
AbstractWe study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse and research whether a volume migration and an accompanying volatility spillover to alternative venues that continue trading can be observed. Different to prevailing theoretical rationale, trading volume on alternative venues significantly decreases during circuit breakers on the main market and we do not find any evidence for volatility spillover. Moreover, we show that the market share of the main market increases sharply during a circuit breaker. Surprisingly, this is amplified with increasing levels of fragmentation. We identify high-frequency trading as a major reason for the vanishing trading activity on the alternative venues and give empirical evidence that a coordination of circuit breakers is not essential for their effectiveness as long as market participants shift to the dominant venue during market stress.
Reference No.: 2017-134
Clapham, B.; Gomber, P.; Haferkorn, M.; Panz, S. (2017)
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
In: Working Paper; presented at the 34th International Conference of the French Finance Association (AFFI 2017); Valence, France and the Southern Finance Association 2017 Annual Meetings (SFA 2017); Key West, Florida, United States
Category: Working papers [Find it]
AbstractWe investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the German and Spanish stock market which differ regarding specific design parameters. We find that volatility interruptions in general significantly decrease volatility in the post interruption phase. Unfortunately, this decrease in volatility comes at the cost of decreased liquidity. Regarding design parameters, we find tighter price ranges and shorter durations to support volatility interruptions in achieving their goals.
Reference No.: 2017-117
Escobar, M.; Mahlstedt, M.; Panz, S.; Zagst, R. (2017)
Vulnerable Exotic Derivatives
In: The Journal of Derivatives, Vol. 24, No. 3, pp. 84-102
Category: Publications in scientific journals [Find it]
AbstractIn this article, we study the impact of unilateral and bilateral counterparty risk on exotic derivatives. The default risk of a counterparty on over-the-counter transactions has gained relevance worldwide, particularly after the subprime and financial crisis with the default of Lehman Brothers. Since the early work of Black and Cox [1976], the default risk of a corporation is known to be representable as a barrier-type product with a sound financial footing involving assets and liabilities. Here, we present closed-form mathematical solutions for
exotic products in the framework of n assets under unilateral and bilateral counterparty risks, such as vulnerable barrier options, vulnerable spread options, and defaultable swaps. The findings show that, in realistic situations, price changes could be up to 20%, owing to unilateral and/or bilateral risks on exotic products.
Reference No.: 2017-103
Glaser, F.; Panz, S. (2017)
Cyclicality of Collateral Haircuts and Systemic Illiquidity
In: EFL Quarterly, 1/2017; Frankfurt am Main
Category: Miscellaneous [Find it]
Reference No.: 2017-98
Gomber, P.; Clapham, B.; Haferkorn, M.; Panz, S.; Jentsch, P. (2017)
Ensuring Market Integrity and Stability - Circuit Breakers on International Trading Venues
In: The Journal of Trading, Vol. 12, No. 1, pp. 42-54
Category: Publications in journals [Find it]
AbstractCircuit breakers are important mechanisms used to prevent excess short-term volatility and to ensure price continuity. This article presents the results of an international survey on the design and application of circuit breakers on trading venues worldwide. The majority (86%) of the responding trading venues apply circuit breakers and thereby aim to ensure investor protection and increase market integrity and stability. On cash markets, market-wide trading halts and volatility interruptions are the most prevalent types of circuit breakers (72%). On derivatives markets, most exchanges coordinate their circuit breaker with their cash market (40%), followed by marketwide trading halts (20%) and volatility interruptions (13%). Most circuit breakers do not differentiate between upward and downward market movements. There is also support for greater coordination of circuit breakers across venues, and a few exchanges (32%) already coordinate their circuit breakers with other venues.
Reference No.: 2017-95
2016
Gomber, P.; Clapham, B.; Panz, S. (2016)
Response to the ESMA Consultation Paper Regarding Guidelines on the Calibration, Publication and Reporting of Trading Halts
In: ESMA Consultation on Guidelines on the Calibration, Publication and Reporting of Trading Halts
Category: Miscellaneous [Find it]
Reference No.: 2016-121
Glaser, F.; Panz, S. (2016)
(Pro?)-Cyclicality of Collateral Haircuts and Systemic Illiquidity
In: European Systemic Risk Board (ESRB) Working Paper Series, No 27 / October 2016; presented at DGF 2016; Bonn, Germany and FMA Europe 2017; Lisbon, Portugal
Category: Working papers [Find it]
AbstractProcyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be a trigger of liquidity spirals due to its tightening effect of collateral portfolio values in times of market distress. However, empirical evidence on this topic is quite sparse and the discussions are primarily driven by insights derived from theoretical models. Nonetheless, oversight bodies are discussing macroprudential haircut add-ons in order to curb with the potential effects of procyclicality in distressed periods.
Based on a unique data set provided by a large European Central Counterparty we construct a measure of systemic illiquidity of bond collaterals and analyze the relationship between haircuts, the development of periods with explosive behavior and systemic illiquidity. We estimate the noise of bond yields to measure systemic illiquidity with and without considering haircuts. We then apply an explosive roots bubble detection technique to identify irrational periods of each of these two time series and to a combination of both. Finally, we propose a quantitative trigger and design for macroprudential haircut add-ons.
Our results confirm that (1) bond collateral markets face irrational, i.e. bubble-like illiquidity during periods of systemic distress. The results indicate that (2) haircuts are not amplifying or increasing with systemic illiquidity. (3) The proposed haircut add-on mechanism exhibits desirable features to mitigate systemic illiquidity during lasting periods of distress.
Reference No.: 2016-93
Panz, S.; Wolters, G. (2016)
Traditional Life Insurance Products are Under Pressure
In: Non-traditional Life Insurance Products with Guarantees, Eds.: T. Kalberer and K. Ravindran; Risk Books, London
Category: Chapter in book [Find it]
Reference No.: 2016-90
Escobar, M.; Panz, S. (2016)
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
In: Risks, Vol. 4, No. 4, 35
Category: Publications in scientific journals [Find it]
AbstractThis paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk related to the estimation procedure (estimation risk). In particular, we use the distribution of empirical parameters from IBM and EURO STOXX50. The evidence suggests that estimation risk should not be neglected in the context of multidimensional barrier derivatives, as it could cause price differences of up to 70%.
Reference No.: 2016-88
Gomber, P.; Clapham, B.; Haferkorn, M.; Panz, S.; Jentsch, P. (2016)
Circuit Breakers - A Survey among International Trading Venues
In: WFE Research Studies & Reports
Category: Miscellaneous [Find it]
AbstractBetween April and June 2016, the Chair of e-Finance and the World Federation of Exchanges (WFE) conducted an international survey on market safeguards (so-called circuit breakers). In total, 44 of the 72 contacted trading venues answered the questionnaire resulting in a response rate of about 61%. Among the participants are well-known exchanges such as Deutsche Boerse, New York Stock Exchange, Nasdaq and the Chicago Mercantile Exchange. The results show that 38 of 44 exchanges already implemented circuit breakers. Compared to an earlier WFE-survey from 2008, the proportion of exchanges which use circuit breakers increased from 60% to 86%. By analyzing the different types of circuit breakers, it can be observed that market-wide trading interruptions (complete suspension of trading) and volatility interruptions (interruption of continuous trading by a call auction) are most widely used. Exchanges were also asked about the coordination of circuit breakers among several trading venues. In this context, 69% of the answering exchanges support a stronger coordination, however, only 32% already coordinate their circuit breakers.
Reference No.: 2016-86
2015
Drasch, B.; Huber, J.; Panz, S.; Probst, F. (2015)
Detecting Online Firestorms in Social Media
In: Proceedings of the International Conference on Information Systems (ICIS 2015); Fort Worth, Texas, USA
Category: Proceedings [Find it]
Reference No.: 2015-106
Presentations:
2018
15. February |
Panz, S. Spillover Effects During Extraordinary Market Conditions In: 4th SAFE Market Microstructure Workshop; Frankfurt am Main |
05. February |
Panz, S. Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets In: House of Finance - E-Finance Lab Jour Fixe; Frankfurt am Main |
2017
20. December |
Panz, S. Disscussant: Spillovers, Integration and Causality in LME Non-Ferrous Metal Markets In: 5th Paris Financial Management Conference (PFMC 2017); Paris, France |
20. December |
Panz, S. Spillover Effects during Extraordinary Market Conditions In: 5th Paris Financial Management Conference (PFMC 2017); Paris, France |
17. November |
Panz, S. Discussant: Is Short Selling in OTC Stocks informative? In: Southern Finance Association 2017 Annual Meetings (SFA 2017); Key West, Florida, United States |
17. November |
Panz, S. Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets In: Southern Finance Association 2017 Annual Meetings (SFA 2017); Key West, Florida, United States |
07. October |
Panz, S. Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets. In: 24th Annual Meeting of the German Finance Association (DGF 2017); Ulm, Germany |
29. June |
Panz, S. Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets. In: CEPR-Imperial-Plato Inaugural Market Innovator (MI3) Conference on the Evolving Market Structure in Europe and Beyond; London, UK |
23. June |
Panz, S. (Pro?)-Cyclicality of Collateral Haircuts and Systemic Illiquidity In: 21st Annual European Conference of the Financial Management Association International (FMA Europe 2017); Lisbon, Portugal |
23. June |
Panz, S. Discussant: Multi-Market Trading and Cross-Asset Integration In: 21st Annual European Conference of the Financial Management Association International (FMA Europe 2017); Lisbon, Portugal |
2016
30. September |
Panz, S. (Pro?)-Cyclicality of Collateral Haircuts and Systemic Illiquidity In: 23rd Annual Meeting of the German Finance Association (DGF 2016); Bonn, Germany |