Results 221 to 230 of about 40,103 (280)

The Design of a Central Counterparty

open access: yesSSRN Electronic Journal, 2021
This article analyzes the optimal allocation of losses via a Central Clearing Counterparty (CCP) in the presence of counterparty risk. A CCP can hedge this risk by mutualizing losses among its members.
J. Kuong, Vincent Maurin
semanticscholar   +4 more sources

Order Splitting and Interacting with a Counterparty

SSRN Electronic Journal, 2020
Institutional investors have a strong incentive to find natural counterparties to trade larger amounts at lower costs. We show theoretically that order splitting may facilitate this search, as it gradually signals one's trading interest to the market and
Vincent van Kervel   +2 more
semanticscholar   +4 more sources

Mitigating Counterparty Risk [PDF]

open access: yesSSRN Electronic Journal, 2016
This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and positions.
Yalin Gündüz
semanticscholar   +4 more sources

Counterparty Risk: Implications for Network Linkages and Asset Prices

The Review of financial studies, 2022
We study the relation between trade credit, asset prices, and production-network linkages. Empirically, firms extending more trade credit earn 7.6% p.a. lower risk premiums and maintain longer relationships with customers.
Fotis Grigoris, Yunzhi Hu, G. Segal
semanticscholar   +1 more source

Analytical valuation of Asian options with counterparty risk under stochastic volatility models

Journal of futures markets, 2020
In this paper, we consider Asian options with counterparty risk under stochastic volatility models. We propose a simple way to construct stochastic volatility models through the market factor channel.
Xingchun Wang
semanticscholar   +1 more source

On the choice of central counterparties in the EU

Journal of Financial Markets, 2022
We study competition between European Union’s Central CounterParties (CCPs) on the credit default swap (CDS) market. Using data on market shares, we show that CCPs have a monopoly for single-name CDSs and compete on indices along various dimensions. Using transactions data, we focus on the major dealers who alternatively clear their transactions on the
Demange, Gabrielle, Piquard, Thibaut
openaire   +3 more sources

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