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Central Clearing and Collateral Demand
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/10013059087
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The Market for OTC Derivatives
Atkeson, Andrew - 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/10013084727
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Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash
Bates, David S. - 2008
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/10012774903
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The Effects of Mandatory Transparency in Financial Market Design : Evidence from the Corporate Bond Market
Asquith, Paul - 2013
In July 2002, FINRA began mandatory dissemination of price and volume information for corporate bond trades. This paper, using recently released data, measures transparency's effect on trading activity and costs for the entire corporate bond market. Even though trading costs decrease...
Persistent link: https://www.econbiz.de/10013076189
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Valuation in Over-the-Counter Markets
Garleanu, Nicolae - 2009
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/10012767429
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Competing for Order Flow in OTC Markets
Lester, Benjamin R. - 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/10013045266
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Entry and Exit in OTC Derivatives Markets
Atkeson, Andrew - 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/10013048057
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Credit Default Swaps and the Credit Crisis
Stulz, René M. - 2010
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/10013150831
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The Twilight Zone : OTC Regulatory Regimes and Market Quality
Brüggemann, Ulf - 2013
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We provide much needed descriptive evidence on this market and show that the OTC market is a large, diverse, and dynamic trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and...
Persistent link: https://www.econbiz.de/10013077219
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Bail-Ins and Bail-Outs : Incentives, Connectivity, and Systemic Stability
Bernard, Benjamin - 2017
This paper endogenizes intervention in financial crises as the strategic negotiation between a regulator and creditors of distressed banks. Incentives for banks to contribute to a voluntary bail-in arise from their exposure to financial contagion. In equilibrium, a bail-in is possible only if...
Persistent link: https://www.econbiz.de/10012948447