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Credit Default Swaps and the Credit Crisis
Stulz, René M. - 2010
Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counter-party risk and that they...
Persistent link: https://www.econbiz.de/10013150917
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Pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2019
are consistent with the reluctance to clear derivative trades in the absence of a clearing obligation. …
Persistent link: https://www.econbiz.de/10012062171
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011923506
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018 - This version: November 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011932176
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Sometimes Too Great a Notional : Measuring the 'Systemic Significance' of OTC Credit Derivatives
Blair, Margaret M. - 2010
institutions and mitigate the systemic risk associated with derivative trading, especially trading in credit derivatives such as … value - on a frequent basis. The notional value of credit derivatives provides a gauge of the maximum amount the derivative … of a derivative's market value (it is unlikely that each contract in the portfolio would have to be settled for the full …
Persistent link: https://www.econbiz.de/10013150914
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Counterparty Risk Reduction by the Optimal Netting of OTC Derivatives
O'Kane, Dominic - 2014
The netting of OTC derivatives trades, known as 'compression', reduces systemic risk in financial markets by minimising counterparty exposures between large financial institutions, in particular the large dealer banks. We present here a framework for compression in the OTC derivatives market for...
Persistent link: https://www.econbiz.de/10013043588
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Counterparty Credit Risk in OTC Derivatives
Balke, Florian - 2019
We document how counterparty credit risk is priced in FX OTC derivatives. We employ a novel data-set of dealer-specific bid-ask quotes to analyze risk pricing using the decoupling of Swiss franc from the euro as an exogenous shock. First, the removal of the peg increased both the level of...
Persistent link: https://www.econbiz.de/10012858187
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Municipal bond markets
Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018
The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...
Persistent link: https://www.econbiz.de/10011938223
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Cash CVA -- Credit Valuation Adjustment in the Cash Form
Lou, Wujiang - 2021
Credit default swaps (CDS) are unfunded, or the synthetic form of credit exposure, while bonds are fully funded, thus the cash form. Borrowing this industry jargon, credit valuation adjustment (CVA) would be seen synthetic, because it is defined as the present value of buying a default...
Persistent link: https://www.econbiz.de/10013230524
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Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
Xiao, Tim - 2019
The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default...
Persistent link: https://www.econbiz.de/10012867489