Showing 1 - 9 of 9
A central counterparty (CCP) is a financial market utility that lowers counterparty default risk on specified financial contracts by acting as a buyer to every seller, and as a seller to every buyer. When at risk of failure, a CCP could be forced into a normal insolvency process such as...
Persistent link: https://www.econbiz.de/10011862010
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We outline key steps necessary to reform the London Interbank Offered Rate (LIBOR) so as to improve its robustness to manipulation. We first discuss the role of financial benchmarks such as LIBOR in promoting over-the-counter market efficiency by improving transparency. We then describe how to...
Persistent link: https://www.econbiz.de/10011524552
We characterize the price-transparency role of benchmarks in over-the-counter markets. A benchmark can, under conditions, raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the...
Persistent link: https://www.econbiz.de/10011524569
We explain how the common practice of size-discovery trade detracts from overallfinancial market efficiency. At each of a series of size-discovery sessions, traders report theirdesired trades, generating allocations of the asset and cash that rely on the most recent exchangeprice. Traders can...
Persistent link: https://www.econbiz.de/10012244479
I explain the meaning of an interoperable payment system and why interoperability is crucial for efficiency. I review some alternative approaches to interoperability, including central bank digital currencies (CBDCs), hybrid CBDCs, and two-ledger upgrades of bank-based payment systems
Persistent link: https://www.econbiz.de/10012244521
This note presents a preliminary approach to the design of an across-the-curve credit spread index (AXI). The index is a measure of the recent average cost of wholesale unsecured debt funding for publicly listed U.S. bank holding companies and their commercial banking subsidiaries. This may be a...
Persistent link: https://www.econbiz.de/10012264665
We measure credit risk premia---prices for bearing corporate default risk in excess of expected default losses---using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in...
Persistent link: https://www.econbiz.de/10011873159
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