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Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset

Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - 2013

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

Persistent link: https://www.econbiz.de/10010222120

Zentrale Gegenparteien für den außerbörslichen Derivatehandel in der Praxis

Neuner, Stefan; Schäfer, Klaus - 2011

Persistent link: https://www.econbiz.de/10008907158

Zentrale Gegenparteien für den außerbörslichen Derivatehandel in der Praxis

Neuner, Stefan; Schäfer, Klaus - 2011

Die aus der geringen Transparenz und mangelnden Standardisierung des außerbörslichen Derivatehandels resultierenden Gefahren sind durch die internationale Finanzkrise deutlich aufgedeckt worden. Nach dem Willen von Regulierungsbehörden soll diesem bisher weitgehend unregulierten Marktsegment...

Persistent link: https://www.econbiz.de/10009413547

The market for OTC derivatives

Atkeson, Andrew; Eisfeldt, Andrea L.; Weill, Pierre-Olivier - 2013

Persistent link: https://www.econbiz.de/10009738904

Policy perspectives on OTC derivatives market infrastructure

Duffie, Darrell; Li, Ada; Lubke, Theodore J. - 2010 - Rev.

In the wake of the recent financial crisis, over-the-counter (OTC) derivatives have been blamed for increasing systemic risk. Although OTC derivatives were not a central cause of the crisis, the complexity and limited transparency of the market reinforced the potential for excessive risk-taking,...

Persistent link: https://www.econbiz.de/10003948230

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

The pitfalls of central clearing in the presence of systematic risk

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018 - This version: November 2018

Persistent link: https://www.econbiz.de/10011932176

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

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

Mitigating counterparty risk

Gündüz, Yalın - 2018

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and positions. We show that financial institutions that are active...

Persistent link: https://www.econbiz.de/10011900709