Developed over 20 years of teaching academic courses, the Handbook of Financial Risk
Management can be divided into two main parts: risk management in the financial sector; …

As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total
return swaps, they expose their investors to counterparty risk. In this paper, we estimate …

This chapter describes microstructure and mechanics of ETFs. First, the launch of an ETF,
creation and redemption of ETF shares, and ETF share pricing and valuation are shown …

Despite the importance ETFs have recently gained, little is known about their liquidity. The
conventional view on ETF liquidity is that what really matters is neither the size of the ETF …

Abstract The Exchange Traded Fund market is growing, and passive investors need to have
reasonable grounds for choosing this investment vehicle as well as robust selection criteria …

We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book
dataset to assess liquidity resilience to sources of pressure such as policy operations or …

Indexing, as a passive investment strategy, has gained immense momentum in both
overseas and Indian markets. At the global level, Index funds have done exceedingly well by …

The creation of the Exchange Traded Fund (ETF) has revolutionised the global asset
management industry since its inception three decades ago, with the result that this …

Using data on German-listed equity ETFs and their underlying stocks, this thesis provides
empirical evidence on key ETF-market interdependencies. First, it shows that underlying …