Transparency and collateral: central versus bilateral clearing

DOI10.3982/TE3893MaRDI QIDQ5087343zbMATH OpenOpenAlexFDO

Authors Gaetano Antinolfi, Francesca Carapella, Francesco Carli

Publication date 11 July 2022

Published in Theoretical Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/te3893

zbMATH Keywords

central counterpartiescollaterallimited commitment

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Counterparty risk externality: centralized versus over-the-counter markets
• Central clearing of OTC derivatives: bilateral vs multilateral netting
• Counterparty risk, central counterparty clearing and aggregate risk
• Variation margins, fire sales, and information-constrained optimality
• Dynamic investment and counterparty risk

Cited in

(4)

• Counterparty risk externality: centralized versus over-the-counter markets
• Variation margins, fire sales, and information-constrained optimality
• Data versus Collateral
• Incentive efficient risk sharing in a settlement mechanism

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