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Central Clearing of OTC Derivatives : Bilateral vs Multilateral Netting

Cont, Rama - 2013

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/10013085146

Collateral Requirements for Mandatory Central Clearing of Over-the-Counter Derivatives

Heller, Daniel - 2014

By the end of 2012, all standardized over-the-counter (OTC) derivatives must be cleared with central counterparties (CCPs). In this paper, we estimate the amount of collateral that CCPs should demand to clear safely all interest rate swap and credit default swap positions of the major...

Persistent link: https://www.econbiz.de/10013066496

Expansion of Central Clearing

Heller, Daniel - 2014

By the end of 2012, all standardised over-the-counter (OTC) derivatives will have to be cleared through central counterparties (CCPs). We estimate the financial resources that different CCPs would need to clear safely the full volume of interest rate swaps and credit default swaps currently held...

Persistent link: https://www.econbiz.de/10013067872

Systemic Risk and Centralized Clearing of OTC Derivatives : A Network Approach

Borovkova, Svetlana - 2013

came into effect in December 2012. This new regulation involves a central clearing counterparty (CCP): a financial … institution acting as an intermediary between buyers and sellers of OTC derivatives. The rationale behind this regulation is that …

Persistent link: https://www.econbiz.de/10013075192

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

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

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

A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

Murphy, David - 2020

The capital charges for counterparty credit risk form an important part of the Basel Capital Accords. The Basel Committee permits firms to use a variety of methods to calculate regulatory capital on this risk class, including a simple approach – the constant exposure method or CEM – and a...

Persistent link: https://www.econbiz.de/10012834212

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

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