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Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique … risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding …
Persistent link: https://www.econbiz.de/10008530717
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Central clearing of OTC derivatives: Bilateral vs multilateral netting
Rama, Cont; Thomas, Kokholm - In: Statistics & Risk Modeling 31 (2014) 1, pp. 20-20
 central counterparty (CCP) on expected interdealer exposure is determined by the tradeoff between multilateral netting across dealers on … one hand and bilateral netting across asset classes on the other hand. We find this tradeoff to be sensitive to … gain from multilateral netting in a CCP overweighs the loss of netting across asset classes in bilateral netting agreements …
Persistent link: https://www.econbiz.de/10011015730
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CPSS Core Principles for Payment Systems.
Heinrich, Gregor - Volkswirtschaftliche Fakultät, … - 2003
There are a number of international initiatives that have the goal of improving or maintaining financial stability by strengthening financial infrastructure. The Committee on Payment and Settlement Systems (CPSS) contributed to this process through its work on developing Core Principles for...
Persistent link: https://www.econbiz.de/10011261149
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Central Counterparty Loss Allocation and Transmission of Financial Stress
Heath, Alexandra; Kelly, Gerard; Manning, Mark - Reserve Bank of Australia - 2015
Among the reforms to over-the-counter (OTC) derivative markets since the global financial crisis is a commitment to collateralise counterparty exposures and to clear standardised contracts via central counterparties (CCPs). The reforms aim to reduce interconnectedness and improve counterparty...
Persistent link: https://www.econbiz.de/10011202988
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OTC Derivatives Reform: Netting and Networks
Heath, Alexandra; Kelly, Gerard; Manning, Mark - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10010732676
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The inherent limits of ‘legal devices’: lessons for the public sector's central counterparty prescription for the OTC derivatives markets
Braithwaite, Jo - London School of Economics (LSE) - 2011
-backing, netting and so on) and argues that these qualities are inherent to the device. It concludes that the inherent capacity of CCP …
Persistent link: https://www.econbiz.de/10010745410
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Collateralization of Derivative Transaction in Japan : A Comparison of Two Methods
Sakamoto, Tetsuya - In: Monetary and Economic Studies 13 (1995) 2, pp. 75-88
. Collateralization is a new financial technique of credit risk management which complements a close-out netting agreement. The author …
Persistent link: https://www.econbiz.de/10010750325
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Discussion of OTC Derivatives Reform: Netting and Networks
Davis, Kevin - Reserve Bank of Australia
Persistent link: https://www.econbiz.de/10010815214
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Central Counterparty Links and Clearing System Exposures
Cox, Nathanael; Garvin, Nicholas; Kelly, Gerard - Reserve Bank of Australia - 2013
maintain multiple CCP memberships. While links enable exposure to be reduced by allowing netting across CCPs, CCPs become …
Persistent link: https://www.econbiz.de/10010815228
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The value of insolvency safe harbours
Paech, Philipp - London School of Economics (LSE) - 2015
‘Safe harbour’ is shorthand for a bundle of privileges in insolvency which are typically afforded to financial institutions. They are remotely comparable to security interests as they provide a financial institution with a considerably better position as compared to other creditors should...
Persistent link: https://www.econbiz.de/10011264787