Narrow search
Showing 1 - 10 of 18,295
Cover Image
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
Cover Image
Does central clearing benefit risky dealers?
Mayordomo, Sergio; Posch, Peter N. - In: Journal of international financial markets, … 42 (2016), pp. 91-100
Persistent link: https://www.econbiz.de/10011673419
Cover Image
Clearing Risks in OTC Derivatives Markets : The CCP-Bank Nexus
Faruqui, Umar - 2019
Systemically important banks and central counterparties (CCPs) interact in highly concentrated over-the-counter (OTC) derivatives markets. We outline the CCP-bank nexus to think about the endogenous interactions between banks and CCPs in periods of stress. As these interactions could potentially...
Persistent link: https://www.econbiz.de/10012894859
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Multi-currency (Risky) Sovereign Bonds Arbitrage
Yordanov, Vilimir - 2018
, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …
Persistent link: https://www.econbiz.de/10012938247
Cover Image
The role of redenomination risk in the price evolution of Italian banks' CDS spreads
Anelli, Michele; Patanè, Michele; Toscano, Mario; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/150, pp. 1-17
The recent financial crisis offered an interesting opportunity to analyze the markets'; behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads through the Merton model, extended with the inclusion...
Persistent link: https://www.econbiz.de/10012309329
Cover Image
Risk-neutral valuation : pricing and hedging of financial derivatives
Bingham, Nicholas H.; Kiesel, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10008729669
Cover Image
Risk-neutral valuation : pricing and hedging of financial derivatives
Bingham, Nicholas H.; Kiesel, Rüdiger - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001713043