Central Counterparty Exposure in Stressed Markets
Published Online:6 Aug 2020https://doi.org/10.1287/mnsc.2020.3601
References
- (2014) Counterparty risk externality: Centralized vs. over-the-counter markets. J. Econom. Theory 149(January):153–182.Crossref, Google Scholar
- (2016) Covar. Amer. Econom. Rev. 106(7):1705–1741.Crossref, Google Scholar
- (2015) To fully net or not to net: Adverse effects of partial multilateral netting. Oper. Res. 64(5):1135–1142.Link, Google Scholar
- (2020) Systemic risk in networks with a central node. SIAM J. Financial Math. 11(1):60–98.Crossref, Google Scholar
- (2003) Modeling and forecasting realized volatility. Econometrica 71(2):579–625.Crossref, Google Scholar
- (2000) Order flow, transaction clock, and normality of asset returns. J. Finance 55(5):2259–2284.Crossref, Google Scholar
- (2013) Spread the news: The impact of news on the European sovereign bond markets during the crisis. J. Internat. Money Finance 34(April):83–101.Crossref, Google Scholar
- (2020) Centralized trading, transparency and interest rate swap market liquidity: Evidence from the implementation of the Dodd-Frank Act. J. Financial and Quant. Anal . 55(1):159–192.Google Scholar
- (2014) News spillovers from the Greek debt crisis: Impact on the eurozone financial sector. J. Banking Finance 38(January):51–63.Crossref, Google Scholar
- (2016) Risk-sharing or risk-taking? Counterparty risk, incentives, and margins. J. Finance 71(4):1669–1698.Crossref, Google Scholar
- (2020) The failure of a clearinghouse: Empirical evidence. Rev. Finance 24(1):99–128.Google Scholar
- (1990) Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch model. Rev. Econom. Statist. 72(3):498–505.Crossref, Google Scholar
- (2009) Funding liquidity and market liquidity. Rev. Financial Stud. 22(6):2201–2238.Google Scholar
- (2011) Sovereign rating news and financial markets spillovers: Evidence from the European debt crisis. Working Paper No. 11–68, International Monetary Fund, Washington, DC.Google Scholar
- (2019) Firm capital dynamics in centrally cleared markets. Math. Finance, ePub ahead of print November 6, 2019, https://doi.org/10.1111/mafi.12236.Google Scholar
- (1973) A subordinated stochastic process model with finite variance for speculative prices. Econometrica 41(1):135–155.Crossref, Google Scholar
- Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) (2012): Principles for financial market infrastructures, April. https://www.bis.org/cpmi/publ/d101a.pdf.Google Scholar
- Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) (2017) Resilience of central counterparties (CCPs): Further guidance on the PFMI. Accessed July 31, 2020, https://www.bis.org/cpmi/publ/d163.pdf.Google Scholar
- (2015) Central counterparties in crisis: The Hong Kong futures exchange in the crash of 1987. J. Financial Market Infrastructures 4(2):73–98.Crossref, Google Scholar
- (2019) Why does public news augment information asymmetries? Working paper, Tilburg University, Tillburg, Netherlands.Google Scholar
- (1973) One-at-a-time plans. J. Amer. Statist. Assoc. 68(342):353–360.Crossref, Google Scholar
- (2011) Does a central clearing counterparty reduce counterparty risk? Rev. Asset Pricing Stud. 1(1):74–95.Crossref, Google Scholar
- (2015) Central clearing and collateral demand. J. Financial Econom. 116(2):237–256.Crossref, Google Scholar
- (2012) Flow toxicity and liquidity in a high-frequency world. Rev. Financial Stud. 25(5):1457–1493.Crossref, Google Scholar
- (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econom. Statist. 20(3):339–350.Crossref, Google Scholar
- European Central Bank (2010) ECB decides on measures to address severe tensions in financial markets. Press release, European Central Bank, Frankfurt, Germany.Google Scholar
- European Commission (2010) The European stabilization mechanism. Memo /10/173, European Commission, Brussels, Belgium.Google Scholar
- (2014) How should central counterparty clearing reduce risk? Collateral requirements and entry restrictions. Report, Bank of Canada, Ottawa, ON, Canada.Google Scholar
- (2016) Hidden illiquidity with multiple central counterparties. Oper. Res. 64(5):1053–1176.Link, Google Scholar
- (2002) Equilibrium and welfare in markets with financially constrained arbitrageurs. J. Financial Econom. 66(2–3):361–407.Crossref, Google Scholar
- (2006) Realized variance and market microstructure noise. J. Bus. Econom. Statist. 24(2):127–161.Crossref, Google Scholar
- (1995) One security, many markets: Determining the contributions to price discovery. J. Finance 50(4):1175–1199.Crossref, Google Scholar
- (2019) Central counterparty capitalization and misaligned incentives. Working paper, Bank for International Settlements, Basel, Switzerland.Google Scholar
- (2013) Derivatives clearing, default risk and insurance. J. Risk Insurance 80(2):373–400.Crossref, Google Scholar
- (1994) Information, trading, and volatility. J. Financial Econom. 36(1):127–154.Crossref, Google Scholar
- (2007) What happened to the quants in August 2007? J. Investment Management 5(4):5–54.Google Scholar
- (2011) What happened to the quants in August 2007? Evidence from factors and transactions data. J. Financial Markets 14(1):1–46.Crossref, Google Scholar
- (1994) Market liquidity and volume around earnings announcements. J. Accounting Econom. 17(1–2):41–67.Crossref, Google Scholar
- (2012) Optimal clearing arrangements for financial trades. J. Financial Econom. 103(1):189–203.Crossref, Google Scholar
- (2014) The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market. J. Financial Econom. 112(1):91–115.Crossref, Google Scholar
- (2016) Does dodd-frank affect otc transaction costs and liquidity? Evidence from real-time cds trade reports. J. Financial Econom. 119(3):645–672.Crossref, Google Scholar
- (2017) Comargin. J. Financial Quantitative Anal. 52(5):2183–2215.Crossref, Google Scholar
- (2016) Systemic risk in central clearing: Should crowded trades be avoided? Working paper, Vrije Universiteit, Amsterdam.Google Scholar
- (2017) Crowded positions: An overlooked systemic risk for central clearing parties. Rev. Asset Pricing Stud. 7(2):209–242.Crossref, Google Scholar
- (2015) Does central clearing affect price stability? Evidence from nordic equity markets. Working paper, Imperial CollegeLondon, London.Google Scholar
- (2013) Contagion during the Greek sovereign debt crisis. J. Internat. Money Finance 34(April):102–113.Crossref, Google Scholar
- (1997) The limits of arbitrage. J. Finance 52(1):35–55.Crossref, Google Scholar
- (2009) Presidential address: Sophisticated investors and market efficiency. J. Finance 64(4):1517–1548.Crossref, Google Scholar
- (2011) Systemic liquidation risk and the diversity–diversification trade-off. J. Finance 66(4):1141–1175.Crossref, Google Scholar

