Five Fundamental Questions on Central Counterparties
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
References listed on IDEAS
- Boissel, Charles & Derrien, François & Ors, Evren & Thesmar, David, 2017.
"Systemic risk in clearing houses: Evidence from the European repo market,"
Journal of Financial Economics, Elsevier, vol. 125(3), pages 511-536.
- Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
- Boissel, Charles & Derrien, François & Örs, Evren & Thesmar, David, 2016. "Systemic risk in clearing houses: Evidence from the European repo market," ESRB Working Paper Series 10, European Systemic Risk Board.
- Binbin Deng, 2017. "Counterparty risk, central counterparty clearing and aggregate risk," Annals of Finance, Springer, vol. 13(4), pages 355-400, November.
- Heath, Alexandra & Kelly, Gerard & Manning, Mark & Markose, Sheri & Shaghaghi, Ali Rais, 2016. "CCPs and network stability in OTC derivatives markets," Journal of Financial Stability, Elsevier, vol. 27(C), pages 217-233.
- José J. Massa, 2016. "Interoperability between Central Counterparties. Impact on the distribution of capital consumption among Member firms," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 39(111), pages 127-137, Septiembr.
- Gemmill, Gordon, 1994. "Margins and the safety of clearing houses," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 979-996, October.
- Loon, Yee Cheng & Zhong, Zhaodong Ken, 2014. "The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market," Journal of Financial Economics, Elsevier, vol. 112(1), pages 91-115.
- George W. Fenn & Paul Kupiec, 1993.
"Prudential margin policy in a futures‐style settlement system,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(4), pages 389-408, June.
- George W. Fenn & Paul H. Kupiec, 1991. "Prudential margin policy in a futures-style settlement system," Finance and Economics Discussion Series 164, Board of Governors of the Federal Reserve System (U.S.).
- France, Virginia G. & Kahn, Charles M., 2016. "Law as a constraint on bailouts: Emergency support for central counterparties," Journal of Financial Intermediation, Elsevier, vol. 28(C), pages 22-31.
- Duffie, Darrell & Scheicher, Martin & Vuillemey, Guillaume, 2015.
"Central clearing and collateral demand,"
Journal of Financial Economics, Elsevier, vol. 116(2), pages 237-256.
- Scheicher, Martin & Vuillemey, Guillaume & Duffie, Darrell, 2014. "Central clearing and collateral demand," Working Paper Series 1638, European Central Bank.
- Darrell Duffie & Martin Scheicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," NBER Working Papers 19890, National Bureau of Economic Research, Inc.
- Darrell Duffie & Martin Schneicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," Economics Working Papers 14104, Hoover Institution, Stanford University.
- Rama Cont, 2015. "The end of the waterfall: default resources of central counterparties," Working Paper 2015/16, Norges Bank.
- Stephen J. Lubben, 2017. "Always Crashing in the Same Car—Clearinghouse Rescue in the United States under Dodd–Frank," Journal of Financial Regulation, Oxford University Press, vol. 3(2), pages 133-158.
- Heuver, Richard A. & Berndsen, Ron J., 2022.
"Liquidity coverage ratio in a payment network: Uncovering contagion paths,"
Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(1).
- Richard Heuver & Ron Berndsen, 2020. "Liquidity Coverage Ratio in a Payments Network: Uncovering Contagion Paths," Working Papers 678, DNB.
- Berndsen, Ron, 2020. "Liquidity Coverage Ratio in a Payments Network: Uncovering Contagion Paths," Other publications TiSEM 8f0f2fa5-5fb2-46fb-9756-d, Tilburg University, School of Economics and Management.
- Mark Paddrik & Sriram Rajan & H. Peyton Young, 2020.
"Contagion in Derivatives Markets,"
Management Science, INFORMS, vol. 66(8), pages 3603-3616, August.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in Derivatives Markets," Economics Series Working Papers 839, University of Oxford, Department of Economics.
- H Peyton Young & Mark Paddrik & Sriram Rajan, 2019. "Contagion in Derivatives Markets," Economics Series Working Papers 886, University of Oxford, Department of Economics.
- Ms. Froukelien Wendt, 2015. "Central Counterparties: Addressing their Too Important to Fail Nature," IMF Working Papers 2015/021, International Monetary Fund.
- Gordon Rausser & William Balson & Reid Stevens, 2010.
"Centralized clearing for over‐the‐counter derivatives,"
Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 2(4), pages 346-359, November.
- Rausser, Gordon C. & Balson, William & Stevens, Reid, 2009. "Centralized Clearing for Over-the-Counter Derivatives," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt494976mk, Department of Agricultural & Resource Economics, UC Berkeley.
- Rausser, Gordon C. & Balson, William & Stevens, Reid, 2009. "Centralized Clearing for Over-the-Counter Derivatives," CUDARE Working Papers 120533, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Stephens, Eric & Thompson, James R., 2014.
"CDS as insurance: Leaky lifeboats in stormy seas,"
Journal of Financial Intermediation, Elsevier, vol. 23(3), pages 279-299.
- Stephens, Eric & Thompson, James, 2011. "CDS as Insurance: Leaky Lifeboats in Stormy Seas," Working Papers 2011-9, University of Alberta, Department of Economics, revised 01 Sep 2011.
- Robert A. Jones & Christophe Pérignon, 2013.
"Derivatives Clearing, Default Risk, and Insurance,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 373-400, June.
- Christophe Pérignon & Robert A. Jones, 2013. "Derivatives Clearing, Default Risk, and Insurance," Post-Print hal-00829059, HAL.
- Olga Lewandowska, 2015. "OTC Clearing Arrangements for Bank Systemic Risk Regulation: A Simulation Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(6), pages 1177-1203, September.
- Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
- Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
- Bruno Biais & Florian Heider & Marie Hoerova, 2016.
"Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives, and Margins,"
Journal of Finance, American Finance Association, vol. 71(4), pages 1669-1698, August.
- Heider, Florian & Hoerova, Marie & Biais, Bruno, 2012. "Risk-sharing or risk-taking? Counterparty risk, incentives and margins," Working Paper Series 1413, European Central Bank.
- Bruno Biais & Florian Heider & Marie Hoerova, 2016. "Risk-sharing or risk-taking? Counterparty-risk, incentives and margins," Post-Print halshs-01520953, HAL.
- Matthias Arnsdorf, 2012. "Central Counterparty Risk," Papers 1205.1533, arXiv.org.
- Stulz, Rene, 2010.
"Credit default Swaps and the Credit Crisis,"
Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 6, pages 157-175.
- Rene M. Stulz, 2010. "Credit Default Swaps and the Credit Crisis," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 73-92, Winter.
- Stulz, Rene M., 2009. "Credit Default Swaps and the Credit Crisis," Working Paper Series 2009-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- René M. Stulz, 2009. "Credit Default Swaps and the Credit Crisis," NBER Working Papers 15384, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Vuillemey, Guillaume, 2018. "Completing Markets with Contracts: Evidence from the First Central Clearing Counterparty," CEPR Discussion Papers 13230, C.E.P.R. Discussion Papers.
- Randall S. Kroszner, 1999. "Can the financial markets privately regulate risk? The development of derivatives clearinghouses and recent over-the-counter innovations," Proceedings, Federal Reserve Bank of Cleveland, pages 596-623.
- Yesha Yadav & Dermot Turing, 2016. "The Extraterritorial Regulation of Clearinghouses," Journal of Financial Regulation, Oxford University Press, vol. 2(1), pages 21-55.
- Jean-Sébastien Fontaine & Héctor Pérez Saiz & Joshua Slive, 2012.
"Access, Competition and Risk in Centrally Cleared Markets,"
Bank of Canada Review, Bank of Canada, vol. 2012(Autumn), pages 14-22.
- Jean-Sébastien Fontaine & Héctor Pérez Saiz & Joshua Slive, 2012. "Access, Competition and Risk in Centrally Cleared Markets," Bank of Canada Review, Bank of Canada, vol. 2012(Autumn), pages 3-13.
- Stacey Anderson & Jean-Philippe Dion & Héctor Pérez Saiz, 2013. "To Link or Not To Link? Netting and Exposures Between Central Counterparties," Staff Working Papers 13-6, Bank of Canada.
- De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
- Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan, 2019. "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
- Hachmeister, A. & Schiereck, D., 2010. "Dancing in the Dark: Post-trade Anonymity, Liquidity, and Informed Trading," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34883, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Giovanni Barone-Adesi & Kostas Giannopoulos & Les Vosper, 2018. "Estimating the joint tail risk under the filtered historical simulation: An application to the CCP’s default and waterfall fund," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 413-425, March.
- Andrea Aguiar & Dror Y. Kenett & Richard Bookstaber & Thomas Wipf, 2016. "A Map of Collateral Uses and Flows," Working Papers 16-06, Office of Financial Research, US Department of the Treasury.
- 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.
- Acharya, Viral & Bisin, Alberto, 2014.
"Counterparty risk externality: Centralized versus over-the-counter markets,"
Journal of Economic Theory, Elsevier, vol. 149(C), pages 153-182.
- Viral Acharya & Alberto Bisin, 2011. "Counterparty risk externality: Centralized versus over-the-counter markets," 2011 Meeting Papers 618, Society for Economic Dynamics.
- Viral V. Acharya & Alberto Bisin, 2011. "Counterparty Risk Externality: Centralized Versus Over-the-counter Markets," NBER Working Papers 17000, National Bureau of Economic Research, Inc.
- Bruno Biais & Florian Heider & Marie Hoerova, 2012.
"Clearing, Counterparty Risk, and Aggregate Risk,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(2), pages 193-222, July.
- Bruno Biais & Florian Heider & Marie Hoerova, 2012. "Clearing, counterparty risk and aggregate risk," Post-Print halshs-00738566, HAL.
- Biais, Bruno & Heider, Florian & Hoerova, Marie, 2012. "Clearing, counterparty risk and aggregate risk," Working Paper Series 1481, European Central Bank.
- Rama Cont & Andreea Minca, 2016. "Credit default swaps and systemic risk," Annals of Operations Research, Springer, vol. 247(2), pages 523-547, December.
- Albert J Menkveld, 2017. "Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(2), pages 209-242.
- Craig Pirrong, 2012. "Clearing and Collateral Mandates: A New Liquidity Trap?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 24(1), pages 67-73, March.
- Fernando V. Cerezetti & Emmanouil N. Karimalis & Ujwal Shreyas & Anannit Sumawong, 2019.
"Market liquidity, closeout procedures and initial margin for CCPs,"
The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 599-631, May.
- Cerezetti, Fernando & Sumawong, Anannit & Karimalis, Emmanouil & Shreyas, Ujwal, 2017. "Market liquidity, closeout procedures and initial margin for CCPs," Bank of England working papers 643, Bank of England.
- Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2016. "Hidden Illiquidity with Multiple Central Counterparties," Operations Research, INFORMS, vol. 64(5), pages 1143-1158, October.
- Bernanke, Ben S, 1990. "Clearing and Settlement during the Crash," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 133-151.
- Injun Hwang & Baeho Kim, 2020. "Heterogeneity and netting efficiency under central clearing: A stochastic network analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 192-208, February.
- Murphy, David & Nahai-Williamson, Paul, 2014. "Financial Stability Paper 30: Dear Prudence, won’t you come out to play? Approaches to the analysis of CCP default fund adequacy," Bank of England Financial Stability Papers 30, Bank of England.
- Randy Priem, 2018. "CCP recovery and resolution: preventing a financial catastrophe," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 26(3), pages 351-364, July.
- Vuillemey, Guillaume, 2018. "Completing Markets With Contracts: Evidence From the First Central Clearing Counterparty," HEC Research Papers Series 1307, HEC Paris.
- Koeppl, Thorsten & Monnet, Cyril & Temzelides, Ted, 2012.
"Optimal clearing arrangements for financial trades,"
Journal of Financial Economics, Elsevier, vol. 103(1), pages 189-203.
- Cyril Monnet & Ted Temzelides & Thorsten V. Koeppl, 2009. "Optimal Clearing Arrangements For Financial Trades," Working Paper 1222, Economics Department, Queen's University.
- Xiaobing Feng & Matthew Pritsker, 2014. "The structural comparison of central counterparty interoperability," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(10), pages 1-21.
- Yang-Ho Park & Nicole Abruzzo, 2016. "An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(1), pages 65-100, February.
- Ghamami, Samim & Glasserman, Paul, 2017. "Does OTC derivatives reform incentivize central clearing?," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 76-87.
- Kroszner, Randall S, 1999. "Can the Financial Markets Privately Regulate Risk? The Development of Derivatives Clearinghouses and Recent Over-the-Counter Innovations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 596-618, August.
- Xiaobing Feng & Haibo Hu & Matthew Pritsker, 2014. "Network effects, cascades and CCP interoperability," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(09), pages 1-13.
- Hamed Amini & Damir Filipović & Andreea Minca, 2016. "To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting," Operations Research, INFORMS, vol. 64(5), pages 1135-1142, October.
- Joshua Slive & Jonathan Witmer & Elizabeth Woodman, 2012. "Liquidity and Central Clearing: Evidence from the CDS Market," Staff Working Papers 12-38, Bank of Canada.
- Randall S. Kroszner, 1999. "Can the Financial Markets Privately Regulate Risk? The Development of Derivatives Clearing Houses and Recent Over-the Counter Innovations," CRSP working papers 493, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Garratt, Rodney & Zimmerman, Peter, 2020.
"Centralized netting in financial networks,"
Journal of Banking & Finance, Elsevier, vol. 112(C).
- Garratt, Rodney, 2016. "Centralized netting in financial networks," University of California at Santa Barbara, Economics Working Paper Series qt79t1q6cg, Department of Economics, UC Santa Barbara.
- Mr. Manmohan Singh & Dermot Turing, 2018. "Central Counterparties Resolution—An Unresolved Problem," IMF Working Papers 2018/065, International Monetary Fund.
- Stuart M. Turnbull, 2014. "Counterparty Risk: A Review," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 241-258, December.
- Vicente, L.A.B.G. & Cerezetti, F.V. & De Faria, S.R. & Iwashita, T. & Pereira, O.R., 2015. "Managing risk in multi-asset class, multimarket central counterparties: The CORE approach," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 119-130.
- Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
- Samim Ghamami, 2015. "Static models of central counterparty risk," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-36.
- Paddrick, Mark & Rajan, Sriram & Young, H. Peyton, 2020. "Contagion in derivatives markets," LSE Research Online Documents on Economics 100868, London School of Economics and Political Science, LSE Library.
- Randall Kroszner, 2000. "Lessons from Financial Crises: The Role of Clearinghouses," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 157-171, December.
- Thorsten V. Koeppl & Cyril Monnet, 2013. "Compensation par contrepartie centrale et assurance contre le risque systémique sur les marchés dérivés de gré à gré," Revue d'économie financière, Association d'économie financière, vol. 0(1), pages 179-196.
- Bates, David & Craine, Roger, 1999. "Valuing the Futures Market Clearinghouse's Default Exposure during the 1987 Crash," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(2), pages 248-272, May.
- Daniel Heller & Nicholas Vause, 2011. "Expansion of central clearing," BIS Quarterly Review, Bank for International Settlements, June.
- Franklin R. Edwards, 1983. "The clearing association in futures markets: Guarantor and regulator," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(4), pages 369-392, December.
- Jürg Mägerle & Dr. Thomas Nellen, 2011. "Interoperability between central counterparties," Working Papers 2011-12, Swiss National Bank.
- Lorenzo Genito, 2019. "Mandatory clearing: the infrastructural authority of central counterparty clearing houses in the OTC derivatives market," Review of International Political Economy, Taylor & Francis Journals, vol. 26(5), pages 938-962, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- McLaughlin, Dennis & Berndsen, Ron, 2021.
"Why Is a CCP failure very unlikely?,"
Discussion Paper
2021-002, Tilburg University, Center for Economic Research.
- McLaughlin, Dennis & Berndsen, Ron, 2021. "Why Is a CCP failure very unlikely?," Other publications TiSEM 39f37d9b-7b60-4d46-9608-d, Tilburg University, School of Economics and Management.
- Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
- Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.
- Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
- Melinda Friesz & Kira Muratov-Szabó & Andrea Prepuk & Kata Váradi, 2021. "Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint," Risks, MDPI, vol. 9(8), pages 1-19, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
- Massimiliano Affinito & Matteo Piazza, 2021.
"Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis,"
International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
- Massimiliano Affinito & Matteo Piazza, 2018. "Always look on the bright side? Central counterparties and interbank markets during the financial crisis," Temi di discussione (Economic working papers) 1181, Bank of Italy, Economic Research and International Relations Area.
- 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.
- Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2024.
"Loss Sharing in Central Clearinghouses: Winners and Losers,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 237-273.
- Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
- Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
- Mark Paddrik & Simpson Zhang, 2019.
"Central Counterparty Default Waterfalls and Systemic Loss,"
2019 Meeting Papers
213, Society for Economic Dynamics.
- Mark Paddrik & Simpson Zhang, 2020. "Central Counterparty Default Waterfalls and Systemic Loss," Working Papers 20-04, Office of Financial Research, US Department of the Treasury.
- Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
- Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
- Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021.
"Central Counterparty Exposure in Stressed Markets,"
Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
- Wenqian Huang & Albert Menkveld & Shihao Yu, 2019. "Central counterparty exposure in stressed markets," BIS Working Papers 833, Bank for International Settlements.
- Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
- Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
- Injun Hwang & Baeho Kim, 2020. "Heterogeneity and netting efficiency under central clearing: A stochastic network analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 192-208, February.
- Vincent Bignon & Guillaume Vuillemey, 2020.
"The Failure of a Clearinghouse: Empirical Evidence [Counterparty risk externality: centralized versus over-the-counter markets],"
Review of Finance, European Finance Association, vol. 24(1), pages 99-128.
- Vuillemey, Guillaume & Bignon, Vincent, 2016. "The Failure of a Clearinghouse: Empirical Evidence," CEPR Discussion Papers 11630, C.E.P.R. Discussion Papers.
- V. Bignon & G. Vuillemey, 2017. "The Failure of a Clearinghouse:Empirical Evidence," Working papers 638, Banque de France.
- Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018.
"The pitfalls of central clearing in the presence of systematic risk,"
ICIR Working Paper Series
31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Kubitza, Christian & Pelizzon, Loriana & Getmansky Sherman, Mila, 2019. "Pitfalls of central clearing in the presence of systematic risk," SAFE Working Paper Series 235, Leibniz Institute for Financial Research SAFE, revised 2019.
- Bellia, Mario & Girardi, Giulio & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas, 2024.
"The demand for central clearing: To clear or not to clear, that is the question!,"
Journal of Financial Stability, Elsevier, vol. 72(C).
- Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A., 2017. "The demand for central clearing: to clear or not to clear, that is the question," ESRB Working Paper Series 62, European Systemic Risk Board.
- Bellia, Mario & Girardi, Giulio & Panzica, Roberto Calogero & Pelizzon, Loriana & Peltonen, Tuomo, 2022. "The demand for central clearing: To clear or not to clear, that is the question," SAFE Working Paper Series 193, Leibniz Institute for Financial Research SAFE, revised 2022.
- Cyril Monnet & Thomas Nellen, 2021.
"The Collateral Costs of Clearing,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 939-970, August.
- Cyril Monnet & Dr. Thomas Nellen, 2014. "The Collateral Costs of Clearing," Working Papers 2014-04, Swiss National Bank.
- González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
- Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers Main tel-03507099, HAL.
- H Peyton Young & Mark Paddrik, 2019. "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers 885, University of Oxford, Department of Economics.
- Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
More about this item
JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.