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Central clearing of OTC derivatives: Bilateral vs multilateral netting
Cont, Rama; Kokholm, Thomas - In: Statistics & Risk Modeling 31 (2014) 1, pp. 3-22
Abstract We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer...
Persistent link: https://www.econbiz.de/10014621220
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Central clearing of OTC derivatives: Bilateral vs multilateral netting
Rama, Cont; Thomas, Kokholm - In: Statistics & Risk Modeling 31 (2014) 1, pp. 20-20
We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is...
Persistent link: https://www.econbiz.de/10011015730
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“Excessive speculation” in commodities derivatives markets: Boundary work around acceptable versus non acceptable practices
Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2014
wake of the 1929 crisis, and played a structuring role in the regulation of commodities futures markets at that time … regarding the desirable level of regulation of financial commodities markets in the US and in Europe is the leeway, left to both … persistent mechanisms relating categories, the evolution (or stability) of power relations and their consequences on …
Persistent link: https://www.econbiz.de/10011082442
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Trading partners in the interbank lending market
Afonso, Gara; Kovner, Anna; Schoar, Antoinette - 2013
There is substantial heterogeneity in the structure of trading relationships in the U.S. overnight interbank lending market: Some banks rely on spot transactions, while most form stable, concentrated borrowing relationships to hedge liquidity needs. As a result, borrowers pay lower prices and...
Persistent link: https://www.econbiz.de/10010333605
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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. Having access...
Persistent link: https://www.econbiz.de/10010368433
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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/10011984827
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Pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky … - 2019
Through the lens of market participants' objective to minimize counterparty risk, we investigate central clearing in derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies suggest that central clearing always reduces...
Persistent link: https://www.econbiz.de/10012064310
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OTC discount
de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; … - 2019
We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...
Persistent link: https://www.econbiz.de/10012140762
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Lighting up the dark: Liquidity in the German corporate bond market
Gündüz, Yalin; Ottonello, Giorgio; Pelizzon, Loriana; … - 2018
We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post-trade disclosure (the U.S.). We employ a unique regulatory...
Persistent link: https://www.econbiz.de/10011902293
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Mitigating counterparty risk
Gündüz, Yalin - 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/10011902327