Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Zimmerman, Peter 

Report
Does central clearing reduce counterparty risk in realistic financial networks?

Novating a single asset class to a central counterparty (CCP) in an over-the-counter derivatives trading network impacts both the mean and variance of total net exposures between counterparties. When a small number of dealers trade in a relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to increased counterparty risk and higher margin needs. There are intermediate cases where there is a trade-off: The introduction of a CCP leads to an increase in expected net exposures but this increase is accompanied by a reduction in ...
Staff Reports , Paper 717

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 1 items

FILTER BY Author

FILTER BY Jel Classification

D85 1 items

G14 1 items

FILTER BY Keywords

PREVIOUS / NEXT