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Loss sharing in central clearinghouses : winners and losers

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023

Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...

Persistent link: https://www.econbiz.de/10014482946

The anatomy of the euro area interest rate swap market

Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...

Persistent link: https://www.econbiz.de/10011975602

Inventory management, dealers' connections, and prices in OTC markets

Colliard, Jean-Edouard; Foucault, Thierry; Hoffmann, Peter - 2021

We propose a new model of trading in OTC markets. Dealers accumulate inventories by trading with end-investors and trade among each other to reduce their inventory holding costs. Core dealers use a more efficient trading technology than peripheral dealers, who are heterogeneously connected to...

Persistent link: https://www.econbiz.de/10012436749

Do negative interest rates make banks less safe?

Nucera, Federico; Lucas, André; Schaumburg, Julia; … - 2017

We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis ('SRisk'). We find that the risk impact of negative rates is moderate, and depends on banks' business models: Banks with diversified income streams are...

Persistent link: https://www.econbiz.de/10011719935

Bank risk during the financial crisis : do business models matter?

Altunbaş, Yener; Manganelli, Simone; Marqués … - 2011

We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank...

Persistent link: https://www.econbiz.de/10009380937

Interdependencies in the euro area derivatives clearing network : a multi-layer network approach

Rosati, Simonetta; Vacirca, Francesco - 2019

The global nature of derivatives markets, and the presence of large key financial institutions trading in several markets across the globe, call for taking a "macro" view on the interconnections arising in the clearing network. Based on the analysis of derivatives transactions data reported...

Persistent link: https://www.econbiz.de/10012135903

Uncovering the network structure of non-centrally cleared derivative markets : evidences from regulatory data

Zema, Sebastiano Michele - 2022

The network structure of non-centrally cleared derivative markets, uncovered via the European Market Infrastructure … derivative network is found to be ultrasmall and a filtering tool is proposed to identify channels in the network characterized … no break of confidentiality, making possible to simulate in a realistic way the liquidity dynamic in global derivative …

Persistent link: https://www.econbiz.de/10013367590

Derivative margin calls : a new driver of MMF flows

Ghio, Maddalena; Rousová, Linda; Salakhova, Dilyara; … - 2023

' liquidity needs related to derivative margin payments. We combine three highly granular unique data sources (EMIR data for …

Persistent link: https://www.econbiz.de/10014278618

Euro area sovereign yield dynamics

Menkveld, Albert J.; Cheung, Yiu C.; Jong, Frank/de - 2004

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

Persistent link: https://www.econbiz.de/10009639439

Intensified competition and the impact on credit ratings in the RMBS market

Breemen, Vivian van; Fabozzi, Frank J.; Vink, Dennis - 2022

In this paper, we empirically investigate the impact of intensified competition on rating quality in the credit rating market for residential mortgage-backed securities (RMBS) in the period 2017-2020. We provide evidence that competition between large credit rating agencies (CRAs) (Moody's and...

Persistent link: https://www.econbiz.de/10013329377

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