Central Clearing of OTC Derivatives: bilateral vs multilateral netting
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- Ed Nosal, 2011. "Clearing over-the-counter derivatives," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 35(Q IV), pages 137-145.
- Masaaki Fujii & Akihiko Takahashi, 2011. "Collateralized CDS and Default Dependence -Implications for the Central Clearing-," CIRJE F-Series CIRJE-F-799, CIRJE, Faculty of Economics, University of Tokyo.
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Cited by:
- Alexander von Felbert, 2015. "Network Structure and Counterparty Credit Risk," Papers 1504.06789, arXiv.org, revised Jul 2015.
- Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
- Chao, Shih-kang & Härdle, Wolfgang Karl & Hien, Pham-thu, 2014. "Credit risk calibration based on CDS spreads," SFB 649 Discussion Papers 2014-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2014-026 is not listed on IDEAS
- Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
- Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
- Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
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