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. Moreover, although they mitigate credit risk, CCPs create liquidity risks, because they rely on participants to provide cash …. Such requirements increase with both market volatility and default; consequently, CCP liquidity needs are inherently … financial institutions default. Liquidity-focused macroprudential stress tests could help to assess and manage this systemic …
Persistent link: https://www.econbiz.de/10012130105
Persistent link: https://www.econbiz.de/10011790739
This paper analyzes lenders' pricing strategies in the business-to-customer (B2C) unsecured loan market by using a proprietary dataset of approximately 3 million unsecured consumer loans from a B2C online retailer in China. We find that lenders' decisions to invite customers are based on...
Persistent link: https://www.econbiz.de/10012838385
single‐employer pension insurance program. This is an alternative approach to the calculations of expected future PBGC … payouts in the PBGC Exposure Reports. The PBGC insurance is akin to an exchange option, a financial instrument that allows a … particularly painful. The valuation we perform also reflects the fact that PBGC insurance is trigged only in the case of bankruptcy …
Persistent link: https://www.econbiz.de/10013062620
A central counterparty (CCP) is a financial market utility that lowers counterparty default risk on specified financial contracts by acting as a buyer to every seller, and as a seller to every buyer. When at risk of failure, a CCP could be forced into a normal insolvency process such as...
Persistent link: https://www.econbiz.de/10011862010
macroprudential view over time of CCPs' resources, liquidity and collateral policies, margin and haircut requirements …
Persistent link: https://www.econbiz.de/10011925688
In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for the functioning of financial markets, we provide an...
Persistent link: https://www.econbiz.de/10014248732
disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial … market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …
Persistent link: https://www.econbiz.de/10011806244
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...
Persistent link: https://www.econbiz.de/10013087656
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