Margining in derivatives markets and the stability of the banking sector
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Duffee, Gregory R., 1996.
"On measuring credit risks of derivative instruments,"
Journal of Banking & Finance,
Elsevier, vol. 20(5), pages 805-833, June.
- Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
- Michael Johannes & Suresh Sundaresan, 2007. "The Impact of Collateralization on Swap Rates," Journal of Finance, American Finance Association, vol. 62(1), pages 383-410, February.
- Heid, Frank, 2007. "The cyclical effects of the Basel II capital requirements," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3885-3900, December.
- Tano Santos & Jose A. Scheinkman, 2001.
"Competition among Exchanges,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 116(3), pages 1027-1061.
- T. Santos & J. Scheinkman, 2000. "Competition Among Exchanges," Princeton Economic Theory Papers 00s12, Economics Department, Princeton University.
- Tano Santos & José A. Scheinkman, 2000. "Competition Among Exchanges," CRSP working papers 514, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Catherine Schrand & Haluk Unal, 1998.
"Hedging and Coordinated Risk Management: Evidence from Thrift Conversions,"
Journal of Finance,
American Finance Association, vol. 53(3), pages 979-1013, June.
- Catherine M. Schrand & Haluk Unal, 1995. "Hedging and Coordinated Risk Management: Evidence from Thrift Conversions," Center for Financial Institutions Working Papers 96-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011.
"Margin-based Asset Pricing and Deviations from the Law of One Price,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 1980-2022.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2011. "Margin-Based Asset Pricing and Deviations from the Law of One Price," NBER Working Papers 16777, National Bureau of Economic Research, Inc.
- Acharya, Viral & Bisin, Alberto, 2014.
"Counterparty risk externality: Centralized versus over-the-counter markets,"
Journal of Economic Theory,
Elsevier, vol. 149(C), pages 153-182.
- Viral V. Acharya & Alberto Bisin, 2011. "Counterparty Risk Externality: Centralized Versus Over-the-counter Markets," NBER Working Papers 17000, National Bureau of Economic Research, Inc.
- Viral Acharya & Alberto Bisin, 2011. "Counterparty risk externality: Centralized versus over-the-counter markets," 2011 Meeting Papers 618, Society for Economic Dynamics.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005.
"Default and Punishment in General Equilibrium,"
Econometric Society, vol. 73(1), pages 1-37, January.
- P. Dubey & J. Geanakoplos & M . Shubik, 2001. "Default and Punishment in General Equilibrium," Department of Economics Working Papers 01-07, Stony Brook University, Department of Economics.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304R5, Cowles Foundation for Research in Economics, Yale University, revised Mar 2004.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304, Cowles Foundation for Research in Economics, Yale University.
- Domenico Cuoco & Hong Liu, 2000. "A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 355-385.
- Thorsten Koeppl & Cyril Monnet, 2010.
"The emergence and future of central counterparties,"
10-30, Federal Reserve Bank of Philadelphia.
- Thorsten V. Koeppl & Cyril Monnet, 2010. "The Emergence and Future of Central Counterparties," Working Papers 1241, Queen's University, Department of Economics.
- James T. Moser, 1994. "Origins of the modern exchange clearinghouse: a history of early clearing and settlement methods at futures exchanges," Working Paper Series, Issues in Financial Regulation 94-3, Federal Reserve Bank of Chicago.
- L. Kalavathi & Latha Shanker, 1991. "Margin requirements and the demand for futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 213-237, April.
- VanHoose, David, 2007. "Theories of bank behavior under capital regulation," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3680-3697, December.
- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
- Bauer, Wolfgang & Ryser, Marc, 2004. "Risk management strategies for banks," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 331-352, February.
- Douglas W. Diamond, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Oxford University Press, vol. 51(3), pages 393-414.
- Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
- Hardouvelis, Gikas A & Kim, Dongcheol, 1995. "Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 659-671, August.
- Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Niinimäki, Juha-Pekka, 2015. "The optimal allocation of alternative collateral assets between different loans," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 22-41.
- Daskalaki, Charoula & Skiadopoulos, George, 2016.
"The effects of margin changes on commodity futures markets,"
Journal of Financial Stability,
Elsevier, vol. 22(C), pages 129-152.
- Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
More about this item
KeywordsDerivative securities; Default risk; Collateral; Margining; Systemic risk;
- G19 - Financial Economics - - General Financial Markets - - - Other
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:37:y:2013:i:4:p:1119-1132. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.