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Duffie, Darrell - 2014

demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing … parties (CCPs), an increase in the number of clearing members, the proliferation of CCPs of both specialized and non …

Persistent link: https://www.econbiz.de/10012458774

The Market for OTC Derivatives

Atkeson, Andrew G. - 2013

We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...

Persistent link: https://www.econbiz.de/10012459749

Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash

Bates, David - 1998

Futures market clearinghouses are intermediaries that make large volume trading between anonymous parties feasible. During the October 1987 market crash rumors spread that a major clearinghouse might fail. This paper presents estimates of three measures of the default exposure on the popular...

Persistent link: https://www.econbiz.de/10012472298

The Effects of Mandatory Transparency in Financial Market Design : Evidence from the Corporate Bond Market

Asquith, Paul - 2013

Many financial markets have recently become subject to new regulations requiring transparency. This paper studies how mandatory transparency affects trading in the corporate bond market. In July 2002, TRACE began requiring the public dissemination of post-trade price and volume information for...

Persistent link: https://www.econbiz.de/10012459243

(Almost) 200 Years of News-Based Economic Sentiment

Binsbergen, Jules H. van; Bryzgalova, Svetlana; … - National Bureau of Economic Research - 2024

Using text from 200 million pages of 13,000 US local newspapers and machine learning methods, we construct a 170-year-long measure of economic sentiment at the country and state levels, that expands existing measures in both the time series (by more than a century) and the cross-section. Our...

Persistent link: https://www.econbiz.de/10014468226

Market Freezes

Gu, Chao; Menzio, Guido; Wright, Randall D.; Zhu, Yu - National Bureau of Economic Research - 2021

During the financial crisis apparently centralized markets continued to function while trade in OTC markets froze. We use search-and-bargaining theory to ascertain conditions that allow trade to temporarily freeze in decentralized markets, focusing on the roles of liquidity and self-fulfilling...

Persistent link: https://www.econbiz.de/10012629430

Valuation in Over-the-Counter Markets

Duffie, Darrell - 2006

We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or...

Persistent link: https://www.econbiz.de/10012466649

Competing for Order Flow in OTC Markets

Lester, Benjamin - 2014

We develop a model of a two-sided asset market in which trades are intermediated by dealers and are bilateral. Dealers compete to attract order flow by posting the terms at which they execute trades-- which can include prices, quantities, and execution speed--and investors direct their orders...

Persistent link: https://www.econbiz.de/10012458057

Credit Default Swaps and the Credit Crisis

Stulz, René M. - 2009

Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counterparty risk and that they...

Persistent link: https://www.econbiz.de/10012463266

Entry and Exit in OTC Derivatives Markets

Atkeson, Andrew G. - 2014

We develop a parsimonious model to study the equilibrium and socially optimal decisions of banks to enter, trade in, and possibly exit, an OTC market. Although we endow all banks with the same trading technology, banks' optimal entry and trading decisions endogenously lead to a realistic market...

Persistent link: https://www.econbiz.de/10012458250

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