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OTC premia
Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - In: Journal of financial economics 136 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012545370
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Networks of Counterparties in the Centrally Cleared Eu-Wide Interest Rate Derivatives Market
Fiedor, Pawel; Lapschies, Sarah; Orszaghova, Lucia - 2021
looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross … notional is transferred within central counterparties and their clearing members, client clearing is often neglected in the … literature, despite its significance in terms of net exposures. We find that the client clearing structure is very strongly …
Persistent link: https://www.econbiz.de/10013248958
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OTC premia
Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - 2018
Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter. We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called...
Persistent link: https://www.econbiz.de/10011906506
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Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market
Fiedor, Paweł; Lapschies, Sarah; Országhová, Lucia - 2017
looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross … notional is transferred within central counterparties and their clearing members, client clearing is often neglected in the … literature, despite its significance in terms of net exposures. We find that the client clearing structure is very strongly …
Persistent link: https://www.econbiz.de/10011978321
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The centrally cleared interest rate derivatives market : how are clients changing the risk perspective?
Fiedor, Pawel; Lapschies, Sarah; Orszaghova, Lucia - In: The journal of financial market infrastructures 7 (2018) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011996731
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Regulatory reforms and price heterogeneity in an OTC derivative market
Miyakawa, Daisuke; Oda, Takemasa; Sone, Taihei - 2023
Persistent link: https://www.econbiz.de/10014430501
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OTC clearing arrangements for bank systemic risk regulation : a simulation approach
Lewandowska, Olga - In: Journal of money, credit and banking : JMCB 47 (2015) 6, pp. 1177-1203
Persistent link: https://www.econbiz.de/10011345085
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Five fundamental questions on central counterparties
Berndsen, Ron - 2020
Persistent link: https://www.econbiz.de/10012298338
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The impact of regulation on buyside users of derivatives
Lund, John - In: Journal of securities operations & custody 9 (2017) 3, pp. 206-214
Persistent link: https://www.econbiz.de/10011845129
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Concentration in cleared derivatives : the case for broadening access to direct central counterparty clearing
Alvarez, Nahiomy; McPartland, John - In: The journal of financial market infrastructures 8 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012662417