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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

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

Counterparty Risk Reduction by the Optimal Netting of OTC Derivatives

O'Kane, Dominic - 2014

The netting of OTC derivatives trades, known as 'compression', reduces systemic risk in financial markets by minimising counterparty exposures between large financial institutions, in particular the large dealer banks. We present here a framework for compression in the OTC derivatives market for...

Persistent link: https://www.econbiz.de/10013043588

Clearinghouse-five : determinants of voluntary clearing in European derivatives markets

Fiedor, Paweł - 2018

OTC derivative contracts in Europe. Central clearing acts as insurance against counterparty credit risk related to … derivative contracts, and is legally mandated for a specific subset of standardized derivative contracts, with a significant … maturity of the contract and international frictions affect voluntary clearing of different types of derivative contracts in …

Persistent link: https://www.econbiz.de/10011848367

Close-Out Netting and Risk Management in Over-the-Counter Derivatives

Mengle, David - 2010

Close-out netting is a credit risk mitigation process that applies to over-the-counter derivative transactions between …

Persistent link: https://www.econbiz.de/10013142690

OTC Derivatives Market in India : Recent Regulatory Initiatives and Open Issues for Market Stability and Development

Arora, Dayanand - 2010

complementary. Regarding the introduction of new derivative products for credit risk transfer, the recent announcement by the RBI …

Persistent link: https://www.econbiz.de/10013143601

The Enigma of Clearing Buy Side OTC Derivatives

Johnson, Christian A. - 2013

Congress is currently debating whether to mandate the clearing of buy side OTC derivatives. Such an action, however, represents a seismic and unproven shift in how OTC derivatives function and how they are traded, processed and assessed, especially with respect to the highly customized products...

Persistent link: https://www.econbiz.de/10013095166

Volume-Volatility Interactions between Exchange Traded Derivatives and OTC Derivatives

Switzer, Lorne N. - 2011

Using actual over the counter (OTC) foreign exchange derivative trading data, this paper studies the relationship …

Persistent link: https://www.econbiz.de/10013119894

Systemic Risk from Global Financial Derivatives : A Network Analysis of Contagion and its Mitigation with Super-Spreader Tax

Markose, Sheri M. - 2013

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation,...

Persistent link: https://www.econbiz.de/10013088732