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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011923506
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018 - This version: November 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011932176
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10011975602
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Mitigating counterparty risk
Gündüz, Yalın - 2018
effect on the hedging behaviour against the counterparty. As the current regulatory frameworks explicitly formulate any … capital relief motives and provides a viable hedging instrument beyond receiving coverage through collateral. …
Persistent link: https://www.econbiz.de/10011900709
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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
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The Decline of Solvency Contagion Risk
Bardoscia, Marco - 2017
We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for losses transmitted after banks default, but also for losses due to the fact that creditors revalue their exposures when probabilities of default of their counterparties change....
Persistent link: https://www.econbiz.de/10012952936
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Systemic Risk Management in Financial Networks with Credit Default Swaps
Leduc, Matthew V. - 2020
We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the network of...
Persistent link: https://www.econbiz.de/10012855794
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Operational Risk Governance : The Basel Approach
Afanasyeva, Olga - 2014
This paper analyses key documents of Basel Committee which concern operational risk governance and identifies the interconnectedness between risk source, type of the event leading to losses, loss type and its distribution by business lines. The comparative characteristic of the main operational...
Persistent link: https://www.econbiz.de/10013040162
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Restructuring Counterparty Credit Risk
Albanese, Claudio - 2016
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between …, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring …
Persistent link: https://www.econbiz.de/10012988783
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - 2013
We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between …, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring …
Persistent link: https://www.econbiz.de/10009739564