Similar Search Results

Central Clearing of Interest Rate Swaps : A Comparison of Offerings

Cont, Rama - 2011

Regulatory changes have motivated the development of a variety of solutions for the clearing of interest rate swaps …. Margin payments associated with clearing lead to modifications in cash flows which result in differences in the valuation …

Persistent link: https://www.econbiz.de/10013128625

OTC premia

Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - In: Journal of financial economics 136 (2020) 1, pp. 86-105

Persistent link: https://www.econbiz.de/10012545370

Networks of Counterparties in the Centrally Cleared Eu-Wide Interest Rate Derivatives Market

Fiedor, Pawel; Lapschies, Sarah; Orszaghova, Lucia - 2021

looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross … notional is transferred within central counterparties and their clearing members, client clearing is often neglected in the … literature, despite its significance in terms of net exposures. We find that the client clearing structure is very strongly …

Persistent link: https://www.econbiz.de/10013248958

OTC premia

Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - 2018

Using unique data at transaction and identity levels, we provide the first systematic study of interest rate swaps traded over the counter. We find substantial and persistent heterogeneity in derivative prices consistent with a pass-through of regulatory costs on to market prices via so-called...

Persistent link: https://www.econbiz.de/10011906506