Similar Search Results

Procyclicality and risk-based access : valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures

Bewaji, Oluwasegun - In: The journal of financial market infrastructures 7 (2019) 3, pp. 45-72

Persistent link: https://www.econbiz.de/10012020394

Central clearing for credit default swaps : a legal analysis of the new central clearing regulations in Europe and the US

Cerulus, Stan - In: Journal of financial regulation and compliance : an … 20 (2012) 2, pp. 212-244

Persistent link: https://www.econbiz.de/10009616477

The impact of central clearing on counterparty risk, liquidity, and trading : evidence from the credit default swap market

Loon, Yee Cheng; Zhong, Zhaodong - In: Journal of financial economics 112 (2014) 1, pp. 91-115

Persistent link: https://www.econbiz.de/10010375943

Credit Default Swap Clearinghouses and Systemic Risk : Why Centralized Counterparties Must Have Access to Central Bank Liquidity

Kress, Jeremy C. - 2011

clearinghouse that acts as a seller to every buyer and a buyer to every seller. Proponents of central clearing argue that this … benefits of central clearing are manifest, the downsides are less obvious; clearinghouses concentrate risk and pose enormous … access to central bank credit is crucial, particularly when central clearing of volatile CDSs is required …

Persistent link: https://www.econbiz.de/10013133697

Central Clearing for Credit Default Swaps - Efforts in the EU and the US to Combat Systemic Risk Through Regulation

Cerulus, Stan - 2012

Persistent link: https://www.econbiz.de/10013098174

CDS spreads in the aftermath of central clearing

Kaya, Orcun - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 75-101

Persistent link: https://www.econbiz.de/10011862374

Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution

Simkovic, Michael - 2011

Persistent link: https://www.econbiz.de/10013133364

Credit Default Swaps Liquidity Modeling : A Survey

Brigo, Damiano - 2011

We review different theoretical and empirical approaches for measuring the impact of liquidity on CDS prices. We start by reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different...

Persistent link: https://www.econbiz.de/10013133848

The Impact of Margin Interest on the Valuation of Credit Default Swaps

Kan, Yu Hang (Gabriel) - 2012

Virtually all credit default swaps (CDS) are collateralized with a daily cash settlement of the variation margin equal to the change in their mark-to-market values. We show how the interest on the variation margin (also called price alignment interest) affects the value of CDS. Specifically, we...

Persistent link: https://www.econbiz.de/10013115140

Innovative Credit Default Management in the Banks Through Credit Default Swaps : An Analysis of Credit Derivatives

Tandon, Deepak - 2014

Credit Risk Management has always been the key concern in financing with the commercial banks. Asset quality has to be kept in mind while bearing the various types of risks. Management of the assets bears a significant impact on liquidity vs. risk management. Post global financial crisis, Indian...

Persistent link: https://www.econbiz.de/10013069443