Narrow search
Showing 1 - 10 of 11,166
Cover Image
An Integrated OTC Derivatives Risk Capital Framework
Lou, Wujiang - 2019
Bilateral derivatives valuation is subject to counterparty credit risk (CCR) in that a counterparty could jump to default or its credit spread could vary over time. In the nomenclature of risk management, the former is called CCR exposure and the later leads to credit valuation adjustment (CVA)....
Persistent link: https://www.econbiz.de/10012898160
Cover Image
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
Cover Image
A New Model for Pricing Collateralized OTC Derivatives
Xiao, Tim - 2018
This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding...
Persistent link: https://www.econbiz.de/10012936706
Cover Image
Bilateral vs. Central Counterparty Clearing in OTC Markets : Counterparty Exposures, Allocation Efficiency, and Applications
Deng, Binbin - 2017
I construct a model of over-the-counter (OTC) trading to study equilibrium allocation properties under bilateral clearing (BC) and central counterparty (CCP) clearing of OTC derivatives. I show how CCP mutualizes individual counterparty exposures and prevents massive equilibrium defaults. I...
Persistent link: https://www.econbiz.de/10012947742
Cover Image
What is New in the Finance-Growth Nexus : OTC Derivatives, Bank Assets and Growth
Becchetti, Leonardo - 2014
derivative data in growth estimates. Beyond the most recent Wacthel and Rousseau (2010) evidence which documents the interruption … derivative positively or insignificantly with a much smaller effect in magnitude. At the same time the impact of the crisis is …
Persistent link: https://www.econbiz.de/10013065801
Cover Image
An Equilibrium Model for the OTC Derivatives Market with a Collateral Agreement
Takino, Kazuhiro - 2015
collateral agreement. We then verify the effect of the collateral agreement on the derivative transaction by using the … derivative contracts by agent's utility maximizations. This leads the equilibrium volumes and prices for the derivative contracts …
Persistent link: https://www.econbiz.de/10013014285
Cover Image
Compressing over-the-counter markets
D'Errico, Marco; Roukny, Tarik - 2017
In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross...
Persistent link: https://www.econbiz.de/10011976943
Cover Image
An Equilibrium Pricing for OTC Derivatives with Collateralization. Application of Economic Premium Principle
Takino, Kazuhiro - 2016
principle initiated by Buhlmann (1980). The derivative markets in our model are over-the-counter (OTC) markets and have … pricing rule in the point of the sensitivity of derivative prices …
Persistent link: https://www.econbiz.de/10012999558
Cover Image
Imperfect competition in derivatives markets
Brinkmann, Christina - 2022 - This version: March 20, 2022
Since the push towards central clearing in derivatives markets after the global financial crisis, an open question has been how the development has affected competition. This paper models imperfect competition between dealers in derivatives markets. Two risk-neutral dealers offer derivatives to...
Persistent link: https://www.econbiz.de/10013163197
Cover Image
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