Otc Derivatives Bilateral Trading And Central Clearing David Murphy Pdf
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Bank of England. Markus K. Discussion Papers.
- OTC Derivatives: Bilateral Trading & Central Clearing
- Using Central Counterparties to Limit Global Financial Crises
- OTC Derivatives: Bilateral Trading and Central Clearing
- A comparative analysis of tools to limit the procyclicality of initial margin requirements
OTC Derivatives: Bilateral Trading & Central Clearing
Bank of England. Markus K. Discussion Papers. Brunnermeier, Markus K. McNeil, Alexander J. Most related items These are the items that most often cite the same works as this one and are cited by the same works as this one. De Genaro, Alan, Stiglitz, Stulz ed. Frank Schmielewski, Nyborg, Kjell G. Hitoshi Hayakawa, More about this item Keywords Central counterparty ; central clearing ; initial margin ; margin models ; OTC derivatives ; procyclicality ; All these keywords.
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Please note that corrections may take a couple of weeks to filter through the various RePEc services. Economic literature: papers , articles , software , chapters , books. FRED data. A comparative analysis of tools to limit the procyclicality of initial margin requirements. The requirement to post initial margin on derivatives transactions is a key feature of the post-crisis reforms of the OTC derivatives markets.
Initial margin requirements are usually determined by risk-based models. These models typically require increased margin in stressed conditions: they are procyclical.
This procyclicality causes a liquidity burden on market participants which sometimes falls when they are least able to bear it. In this paper we study a variety of tools which have been proposed to mitigate the procyclicality of initial margin requirements.
Three of these tools are proposed in European regulation; the other two are new proposals which offer attractive procyclicality mitigation features. The behaviour of all five tools is studied in a simulation framework. We examine the extent to which each tool mitigates procyclicality, and at what cost in demanding unnecessary margin compared to a benchmark unmitigated model. Our findings indicate that all of the tools are useful in mitigating procyclicality to some extent, but that the optimal calibration of each tool in a particular situation depends on the relative weights placed by the modeller on the objectives of minimizing procyclicality on the one hand and minimizing undesirable overmargining in periods of low volatility on the other.
This suggests that it may be appropriate to consider moving from tools-based procyclicality regulation to one based on the desired outcomes.
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Using Central Counterparties to Limit Global Financial Crises
Please vote below, and I will reveal a summary of the results in a week or so. For those deep into applying Dodd Frank this posting isn't really news, but as a succinct description of the main points of the DFA for users of OTC products it's pretty useful. Implications of New U. It makes more sense if I say the words that go with it, but I think you get the gist even so. There are at least three ways to get notified from websites including this one that there is new content:.
Request PDF | On Jan 1, , David Murphy published OTC Derivatives: Bilateral Trading & Central Clearing | Find, read and cite all the.
OTC Derivatives: Bilateral Trading and Central Clearing
Published by Bank for International Settlements in Basle. Written in English. OTC Derivatives Regulation Under Dodd-Frank provides a comprehensive summary of the new swap regulatory regime under Title VII of the Dodd-Frank Act to assist industry professionals and their counsel in beginning to understand the substance of these new requirements and their practical implications.. The Dodd-Frank Act, enacted into law in July , includes a comprehensive overhaul of the. So do morons.
The OTC derivatives market has been hit by a massive wave of regulatory change. Capital and margin requirements have increased, trade reporting has been mandated, and execution mechanisms are evolving. Most of all, central clearing is being imposedMoreThe OTC derivatives market has been hit by a massive wave of regulatory change.
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A comparative analysis of tools to limit the procyclicality of initial margin requirements
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It seems that you're in Germany. We have a dedicated site for Germany. After the credit crisis, supervisors enacted a range of financial reforms. In particular, they radically changed the nature of the OTC derivatives market via a number of measures, notably mandatory central clearing. This book discusses the market before the crisis, explains what central clearing is, and outlines the consequences of the new rules.
OTC Derivatives: Bilateral Trading and Central Clearing: An Introduction to and Systemic Risk (Global Financial Markets) - Kindle edition by Murphy, David.