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The Collateral Costs of Clearing
Nemlioğlu, Ali Karun; Monnet, Cyril - Schweizerische Nationalbank (SNB) - 2014
In this working paper, we study the three generic clearing arrangements in the presence of two-sided limited commitment …: simple bilateral clearing, segregated collateral clearing through a third party, and - most sophisticated of all - central … counterparty (CCP) clearing. Clearing secures the settlement of obligations from over-the-counter (OTC) forward contracts that …
Persistent link: https://www.econbiz.de/10010942529
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Municipal bond markets
Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018
The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...
Persistent link: https://www.econbiz.de/10011938223
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Central counterparties
Koeppl, Thorsten V.; Monnet, Cyril - Center for Financial Studies - 2008
Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It...
Persistent link: https://www.econbiz.de/10010958500
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Central counterparties
Koeppl, Thorsten V.; Monnet, Cyril - 2008
Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It...
Persistent link: https://www.econbiz.de/10010303758
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Settling for Efficiency: A Framework for the European Securities Transactions Industry
Serifsoy, Baris; Weiss, Marco - 2005
Despite a lot of re-structuring and many innovations in recent years, the securities transaction industry in the European Union is still a highly inefficient and inconsistently configured system for cross-border transactions. This paper analyzes the functions performed, the institutions involved...
Persistent link: https://www.econbiz.de/10010316089
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A Theory of Collateral Requirements for Central Counterparties
Wang, Jessie Jiaxu - 2020
This paper develops a new framework for the design of collateral requirements in a centrally cleared market. Clearing …
Persistent link: https://www.econbiz.de/10012850792
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Clearing, Counterparty Risk and Aggregate Risk
Biais, Bruno - 2012
We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders … centralized clearing, as opposed to no or decentralized clearing, is the mutualization of risk. While mutualization fully insures … protection buyers exert effort to find robust counterparties, whose low default risk makes it possible for the clearing system to …
Persistent link: https://www.econbiz.de/10013100399
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Central counterparty loss allocation and transmission of financial stress
Heath, Alexandra; Kelly, Gerard; Manning, Mark - 2015
Persistent link: https://www.econbiz.de/10012497636
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The end of the waterfall : default resources of central counterparties
Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389
Persistent link: https://www.econbiz.de/10011531210
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A comparative analysis of tools to limit the procyclicality of initial margin requirements
Murphy, David; Vasios, Michalis; Vause, Nicholas - 2016
Persistent link: https://www.econbiz.de/10011480672