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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 from clearing. Current rules disproportionately benefit market participants …
Persistent link: https://www.econbiz.de/10014482946
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Central clearing and collateral demand
Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - 2014
Persistent link: https://www.econbiz.de/10010380081
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Caution: do not cross! : capital buffers and lending in Covid-19 times
Couaillier, Cyril; Lo Duca, Marco; Reghezza, Alessio; … - 2022
While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this paper shows that banks were unwilling to do so during the pandemic. To the contrary, banks engaged in forms of pro-cyclical behaviour to preserve capital ratios. By employing...
Persistent link: https://www.econbiz.de/10012818793
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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
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How to release capital requirements during a pandemic? : evidence from euro area banks
Couaillier, Cyril; Reghezza, Alessio; D'Acri, Costanza … - 2022
This paper investigates the impact of the capital relief package adopted to support euro area banks at the outbreak of the COVID-19 pandemic. By leveraging confidential supervisory and credit register data, we uncover two main findings. First, capital relief measures support banks' capacity to...
Persistent link: https://www.econbiz.de/10013367568
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Raising rival's costs in the securities settlement industry
Holthausen, Cornelia (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002233653
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing … mandatory central clearing, there is still a large dispersion in IRS transaction prices, which is partly determined by bank …
Persistent link: https://www.econbiz.de/10011975602
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Bid-to-cover and yield changes around public debt auctions in the euro area
Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 2017
Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...
Persistent link: https://www.econbiz.de/10011647972
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Competition among high-frequency traders, and market quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012016546
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Interdependencies in the euro area derivatives clearing network : a multi-layer network approach
Rosati, Simonetta; Vacirca, Francesco - 2019
markets across the globe, call for taking a "macro" view on the interconnections arising in the clearing network. Based on the …
Persistent link: https://www.econbiz.de/10012135903