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The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market

Citations

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Cited by:

  1. Nimita Azam & Abdullah Mamun & George F. Tannous, 2022. "Credit derivatives and loan yields," The Financial Review, Eastern Finance Association, vol. 57(1), pages 205-241, February.
  2. Czech, Robert, 2021. "Credit default swaps and corporate bond trading," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  3. Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
  4. Kei-Ichiro Inaba, 2018. "Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 111-143, August.
  5. Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A., 2017. "The demand for central clearing: to clear or not to clear, that is the question," ESRB Working Paper Series 62, European Systemic Risk Board.
  6. Olga Cielinska & Andreas Joseph & Ujwal Shreyas & John Tanner & Michalis Vasios, 2017. "Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43, Bank for International Settlements.
  7. Massimiliano Affinito & Matteo Piazza, 2021. "Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
  8. Arnold, M., 2017. "The impact of central clearing on banks’ lending discipline," Journal of Financial Markets, Elsevier, vol. 36(C), pages 91-114.
  9. Daniel Dimitrov & Sweder van Wijnbergen, 2022. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector," Tinbergen Institute Discussion Papers 22-034/VI, Tinbergen Institute.
  10. Vincent Bignon & Guillaume Vuillemey, 2020. "The Failure of a Clearinghouse: Empirical Evidence [Counterparty risk externality: centralized versus over-the-counter markets]," Review of Finance, European Finance Association, vol. 24(1), pages 99-128.
  11. Chengzhu Sun & Shujing Wang & Chu Zhang, 2021. "Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets," Management Science, INFORMS, vol. 67(9), pages 5755-5775, September.
  12. Kanno, Masayasu, 2020. "Interconnectedness and systemic risk in the US CDS market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  13. Bakoush, Mohamed & Gerding, Enrico H. & Wolfe, Simon, 2020. "Interest rate swaps clearing and systemic risk," Finance Research Letters, Elsevier, vol. 33(C).
  14. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
  15. Maximilian Jager & Frederick Zadow, 2023. "Clear(ed) Decision: The Effect of Central Clearing on Firms Financing Decision," CRC TR 224 Discussion Paper Series crctr224_2023_445, University of Bonn and University of Mannheim, Germany.
  16. Bruno Biais & Richard Green, 2019. "The Microstructure of the Bond Market in the 20th Century," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 250-271, July.
  17. Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021. "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, vol. 139(2), pages 545-560.
  18. Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  19. Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
  20. Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2016. "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England working papers 580, Bank of England.
  21. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
  22. Hans Degryse & Mark Van Achter & Gunther Wuyts, 2022. "Plumbing of Securities Markets: The Impact of Post-trade Fees on Trading and Welfare," Management Science, INFORMS, vol. 68(1), pages 635-653, January.
  23. Andres, Christian & Betzer, André & Doumet, Markus, 2021. "Measuring changes in credit risk: The case of CDS event studies," Global Finance Journal, Elsevier, vol. 49(C).
  24. Daures-Lescourret, Laurence & Fulop, Andras, 2022. "Standardization, transparency initiatives, and liquidity in the CDS market," Journal of Financial Markets, Elsevier, vol. 59(PA).
  25. P'al Andr'as Papp & Roger Wattenhofer, 2020. "Network-Aware Strategies in Financial Systems," Papers 2002.07566, arXiv.org.
  26. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Other publications TiSEM 1f3bd844-92ab-4104-8f57-9, Tilburg University, School of Economics and Management.
  27. P'al Andr'as Papp & Roger Wattenhofer, 2020. "Sequential Defaulting in Financial Networks," Papers 2011.10485, arXiv.org.
  28. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
  29. Morrison, Alan & Vasios, Michalis & Wilson, Mungo & Zikes, Filip, 2017. "Identifying contagion in a banking network," Bank of England working papers 642, Bank of England.
  30. Gaetano Antinolfi & Francesca Carapella & Francesco Carli, 2019. "Transparency and Collateral: The Design of CCPs' Loss Allocation Rules," Finance and Economics Discussion Series 2019-058, Board of Governors of the Federal Reserve System (U.S.).
  31. Thomas Richter, 2021. "Central Counterparties and Liquidity Provision in Cash Markets," JRFM, MDPI, vol. 14(12), pages 1-26, December.
  32. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
  33. Bakoush, Mohamed & Gerding, Enrico H. & Wolfe, Simon, 2019. "Margin requirements and systemic liquidity risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 78-95.
  34. Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2021. "The impact of central clearing on the market for single-name credit default swaps," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  35. Hattori, Takahiro, 2023. "The premium and settlement of CCPs during the financial crisis: Evidence from the JGB market," Journal of International Money and Finance, Elsevier, vol. 132(C).
  36. Ruirui Fang & Nan Hu & Peng Liang & Ling Liu, 2023. "Cross‐market information transmission along the supply chain network," Production and Operations Management, Production and Operations Management Society, vol. 32(7), pages 2227-2244, July.
  37. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2021. "Financial oligopolies and parallel exclusion in the credit default swap markets," Journal of Financial Markets, Elsevier, vol. 56(C).
  38. Dalla Fontana, Silvia & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," Working Paper Series 2242, European Central Bank.
  39. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
  40. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Anti-cyclical versus risk-sensitive margin strategies in central clearing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 117-131.
  41. Nguyen, Harvey & Pham, Anh Viet & Pham, Man Duy (Marty) & Pham, Mia Hang, 2023. "Business resilience: Lessons from government responses to the global COVID-19 crisis," International Business Review, Elsevier, vol. 32(5).
  42. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers tel-03507099, HAL.
  43. Alain P. Chaboud & Caren Cox & Michael J. Fleming & Ellen Correia Golay & Yesol Huh & Frank M. Keane & Kyle Lee & Krista B. Schwarz & Clara Vega & Carolyn Windover, 2022. "All-to-All Trading in the U.S. Treasury Market," Staff Reports 1036, Federal Reserve Bank of New York.
  44. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
  45. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
  46. Hsien-Yi Chen & Sheng-Syan Chen, 2024. "How does credit market innovation affect the fiscal policy of state governments?," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 389-420, February.
  47. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
  48. Alderighi, Stefano & Cleary, Siobhan & Varanasi, Padmasai, 2018. "The determinants of cross-border portfolio equity flows: new evidence from emerging markets," Economics Discussion Papers 23310, University of Essex, Department of Economics.
  49. Gregor Helmut Schoenemann, 2022. "The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 446-471, March.
  50. P'al Andr'as Papp & Roger Wattenhofer, 2020. "Default Ambiguity: Finding the Best Solution to the Clearing Problem," Papers 2002.07741, arXiv.org, revised Oct 2021.
  51. Anandasivam Gopal & Brad N Greenwood, 2017. "Traders, guns, and money: The effects of mass shootings on stock prices of firearm manufacturers in the U.S," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-29, May.
  52. Lannoo, Karel & Thomadakis, Apostolos, 2020. "Derivatives in Sustainable Finance," ECMI Papers 29791, Centre for European Policy Studies.
  53. Marra, Miriam & Yu, Fan & Zhu, Lu, 2019. "The impact of trade reporting and central clearing on CDS price informativeness," Journal of Financial Stability, Elsevier, vol. 43(C), pages 130-145.
  54. Peng Liang & Nan Hu & Ling Liu & Ting Zhang, 2023. "Managerial tone and investors' hedging activities: Evidence from credit default swaps," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 3971-3998, December.
  55. Antinolfi, Gaetano & Carapella, Francesca & Carli, Francesco, 2022. "Transparency and collateral: central versus bilateral clearing," Theoretical Economics, Econometric Society, vol. 17(1), January.
  56. Gündüz, Yalin, 2018. "Mitigating counterparty risk," Discussion Papers 35/2018, Deutsche Bundesbank.
  57. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Optimal margin requirement," Finance Research Letters, Elsevier, vol. 31(C).
  58. Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2021. "Regulatory effects on short-term interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 750-770.
  59. Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
  60. Alderighi, Stefano & Cleary, Siobhan & Varanasi, Padmasai, 2019. "Do institutional factors influence cross-border portfolio equity flows? New evidence from emerging markets," Journal of International Money and Finance, Elsevier, vol. 99(C).
  61. Mayordomo, Sergio & Posch, Peter N., 2016. "Does central clearing benefit risky dealers?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 91-100.
  62. Chau, Frankie & Han, Chulwoo & Shi, Shimeng, 2018. "Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 156-169.
  63. Steffen Schuldenzucker & Sven Seuken & Stefano Battiston, 2020. "Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks," Management Science, INFORMS, vol. 66(5), pages 1981-1998, May.
  64. Mike Anderson & René M. Stulz, 2017. "Is Post-Crisis Bond Liquidity Lower?," NBER Working Papers 23317, National Bureau of Economic Research, Inc.
  65. Eisenthal-Berkovitz, Yael & Feldhütter, Peter & Vig, Vikrant, 2020. "Leveraged buyouts and bond credit spreads," Journal of Financial Economics, Elsevier, vol. 135(3), pages 577-601.
  66. Lindsay Baran & Ying Li & Chang Liu & Zilong Liu & Xiaoling Pu, 2018. "S&P 500 Index revisions and credit spreads," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 348-363, October.
  67. Vuillemey, Guillaume, 2023. "Mitigating fire sales with a central clearing counterparty," Journal of Financial Intermediation, Elsevier, vol. 55(C).
  68. Riggs, Lynn & Onur, Esen & Reiffen, David & Zhu, Haoxiang, 2020. "Swap trading after Dodd-Frank: Evidence from index CDS," Journal of Financial Economics, Elsevier, vol. 137(3), pages 857-886.
  69. Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  70. Injun Hwang & Baeho Kim, 2020. "Heterogeneity and netting efficiency under central clearing: A stochastic network analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 192-208, February.
  71. Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019. "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, vol. 131(1), pages 168-185.
  72. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers Main tel-03507099, HAL.
  73. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
  74. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
  75. Bernard Mcsherry & Berry K. Wilson & James J. Mcandrews, 2017. "Net Settlement and Counterparty Risk: Evidence from the Formation of the New York Stock Exchange Clearing House in 1892," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(6), pages 1273-1298, September.
  76. Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021. "Central Counterparty Exposure in Stressed Markets," Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
  77. Binbin Deng, 2017. "Counterparty risk, central counterparty clearing and aggregate risk," Annals of Finance, Springer, vol. 13(4), pages 355-400, November.
  78. Wang, Lei & Li, Shouwei & Chen, Tingqiang, 2019. "Investor behavior, information disclosure strategy and counterparty credit risk contagion," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 37-49.
  79. Christina E. Bannier & Thomas Heidorn & Heinz-Dieter Vogel, 2014. "Characteristics and development of corporate and sovereign CDS," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 482-509, November.
  80. Iñaki Aldasoro & Torsten Ehlers, 2018. "The credit default swap market: what a difference a decade makes," BIS Quarterly Review, Bank for International Settlements, June.
  81. Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
  82. Sriya Anbil & Alyssa G. Anderson & Zeynep Senyuz, 2021. "Are Repo Markets Fragile? Evidence from September 2019," Finance and Economics Discussion Series 2021-028, Board of Governors of the Federal Reserve System (U.S.).
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