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Central counterparty auction design
Ferrara, Gerardo; Li, Xin; Marszalec, Daniel - In: The journal of financial market infrastructures 8 (2019) 2, pp. 47-58
Persistent link: https://www.econbiz.de/10012373192
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Estimating "hedge and auction" liquidation costs in central counterparties : a closeout risk approach
Vicente, Luis A. B. G.; Cerezetti, Fernando; Genaro, Alan de - In: The journal of financial market infrastructures 6 (2017) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011779047
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CCP auction design
Huang, Wenqian; Zhu, Haoxiang - 2021
Persistent link: https://www.econbiz.de/10012518327
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CCP auction design
Huang, Wenqian; Zhu, Haoxiang - In: Journal of economic theory : JET 217 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015067283
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Credit default swap auctions and price discovery
Helwege, Jean; Maurer, Samuel; Sarkar, Asani; Wang, Yuan - In: The journal of fixed income 19 (2009/10) 2, pp. 34-42
Persistent link: https://www.econbiz.de/10003893439
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Bidding under auctioneer default risk
Lorentziadis, Panos L. - In: Omega : the international journal of management science 49 (2014), pp. 123-133
Persistent link: https://www.econbiz.de/10010411421
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Participation and welfare in auctions with default
Lee, Joosung; Li, Daniel Z. - In: Economics letters 183 (2019), pp. 1-4
Persistent link: https://www.econbiz.de/10012122630
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Optimal bidder selection in clearing house default auctions
Garratt, Rod; Murphy, David; Nesmith, Travis D.; Wu, … - 2023
Persistent link: https://www.econbiz.de/10014284288
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Optimal Bidder Selection in Clearing House Default Auctions
Garratt, Rodney; Murphy, David; Nesmith, Travis D.; Wu, … - 2023
Default auctions at central counterparties (or 'CCPs') are critically important to financial stability. However, due to … their unique features and challenges, standard auction theory results do not immediately apply. This paper presents a model … for CCP default auctions that incorporates the CCP's non-standard objective of maximizing success above a threshold rather …
Persistent link: https://www.econbiz.de/10014354594
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Optimal Bidder Selection in Clearing House Default Auctions
Nesmith, Travis D.; Garratt, Rodney; Murphy, David; Wu, … - 2023
Default auctions at central counterparties (or ‘CCPs’) are critically important to financial stability. However, due to … their unique features and challenges, standard auction theory results do not immediately apply. This paper presents a model … for CCP default auctions that incorporates the CCP’s non-standard objective of maximizing success above a threshold rather …
Persistent link: https://www.econbiz.de/10014355926