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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
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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
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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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Banks' loan screening incentives with credit risk transfer : an alternative to risk retention
Arnold, Marc - 2014 - This version: July 2014
This article analyzes the impact of credit risk transfer on banks' screening incentives on the primary loan market. While credit derivatives allow banks to transfer risk to investors, they negatively a ffect the incentive to screen due to the asymmetry of information between banks and investors....
Persistent link: https://www.econbiz.de/10010410209
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Credit Default Swaps and Systemic Risk
Cont, Rama - 2014
We present a network model for investigating the impact on systemic risk of central clearing of over the counter (OTC) credit default swaps (CDS). We model contingent cash flows resulting from CDS and other OTC derivatives by a multi-layered network with a core-periphery structure, which is...
Persistent link: https://www.econbiz.de/10013048349
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Assessing contagion risks from the CDS market
Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013
Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....
Persistent link: https://www.econbiz.de/10011972792
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Counterparty Risk and Contract Volumes in the Credit Default Swap Market
Vause, Nicholas - 2013
After more than a decade of rapid growth, the volume of outstanding credit default swaps peaked at almost $60 trillion at the end of 2007. Since then it has nearly halved, while turnover has continued to rise. The decline in volumes outstanding reflects intensified efforts to reduce counterparty...
Persistent link: https://www.econbiz.de/10013094041
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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - 2007
Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...
Persistent link: https://www.econbiz.de/10003750300
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Zentrale Gegenparteien für den außerbörslichen Derivatehandel in der Praxis
Neuner, Stefan; Schäfer, Klaus - 2011
Die aus der geringen Transparenz und mangelnden Standardisierung des außerbörslichen Derivatehandels resultierenden Gefahren sind durch die internationale Finanzkrise deutlich aufgedeckt worden. Nach dem Willen von Regulierungsbehörden soll diesem bisher weitgehend unregulierten Marktsegment...
Persistent link: https://www.econbiz.de/10009413547
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Zentrale Gegenparteien für den außerbörslichen Derivatehandel in der Praxis
Neuner, Stefan; Schäfer, Klaus - 2011
Persistent link: https://www.econbiz.de/10008907158