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Robust Benchmark Design / Darrell Duffie, Piotr Dworczak.
- Format:
- Book
- Author/Creator:
- Duffie, Darrell.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20540.
- NBER working paper series no. w20540
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- 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).
- Notes:
- Print version record
- October 2014.
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