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Does central clearing reduce counterparty risk in realistic financial networks?

Garratt, Rod; Zimmerman, Peter - 2015

relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to …

Persistent link: https://www.econbiz.de/10010500694

Policy perspectives on OTC derivatives market infrastructure

Duffie, Darrell; Li, Ada; Lubke, Theodore J. - 2010 - Rev.

In the wake of the recent financial crisis, over-the-counter (OTC) derivatives have been blamed for increasing systemic risk. Although OTC derivatives were not a central cause of the crisis, the complexity and limited transparency of the market reinforced the potential for excessive risk-taking,...

Persistent link: https://www.econbiz.de/10003948230

Is size everything?

Antill, Samuel; Sarkar, Asani - 2018

time series and the cross section. TSIZE-implied subsidies increase around the bailout of Continental Illinois in 1984 and …

Persistent link: https://www.econbiz.de/10011894404

Policy perspectives on OTC derivatives market infrastructure

Duffie, Darrell; Li, Ada; Lubke, Theodore J. - 2010

Persistent link: https://www.econbiz.de/10003955411

The netting efficiencies of marketwide central clearing

Fleming, Michael J.; Keane, Frank - 2021

Market disruptions in response to the COVID pandemic spurred calls for the consideration of marketwide central clearing … netting efficiencies of increased central clearing using nonpublic Treasury TRACE transactions data. We find that central … clearing of all outright trades would have lowered dealers' daily gross settlement obligations by roughly $330 billion (60 …

Persistent link: https://www.econbiz.de/10012511397

Identifying term interbank loans from fedwire payments data

Kuo, Dennis; Skeie, David; Vickery, James; Youle, Thomas - 2013

Interbank markets for term maturities experienced great stress during the 2007-09 financial crisis, as illustrated by the behavior of one- and three-month Libor. Despite widespread interest in these markets, little data are available on dollar interbank lending for maturities beyond overnight....

Persistent link: https://www.econbiz.de/10009721288

LIBOR : origins, economics, crisis, scandal, and reform

Hou, David; Skeie, David - 2014

The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....

Persistent link: https://www.econbiz.de/10010393220

Intraday market making with overnight inventory costs

Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...

Persistent link: https://www.econbiz.de/10011568504

Bank funding risk, reference rates, and credit supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - 2023 - Revised February 2023

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest...

Persistent link: https://www.econbiz.de/10013490630

Firm-to-firm relationships and the pass-through of shocks : theory and evidence

Heise, Sebastian - 2019

Economists have long suspected that firm-to-firm relationships might lower the responsiveness of prices to shocks due to the use of fixed-price contracts. Using transaction-level U.S. import data, I show that the pass-through of exchange rate shocks in fact rises as a relationship grows older....

Persistent link: https://www.econbiz.de/10012061371

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