Does a Central Clearing Counterparty Reduce Counterparty Risk
By Darrell Duffie, Haoxiang Zhu. 2011
569 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/2f0cba564f9c8f7286fd2dee1e7254001d7bfac0
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In Finance
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Citations in the corpus
- The formation of financial networks: XXX (2013, unknown): “ones are more fragile: See, for instance, the theoretical investigation of Freixas et al. (2000) or Elliott, Golub and Jackson (2013), and the experimental study of Corbae and Duffy (2008).”
- High frequency trading and the new market makers (2013, background): “5See Duffie and Zhu (2011) for an analysis of netting efficiency and counterparty risk for single vs.”
- The Euro Interbank Repo Market (2016, unknown): “Moreover, if banks forgo bilateral netting opportunities across different contracts by trading in a CCP-based market for repos, this may actually increase their overall counterparty exposure and thus increase the fragility of the financial system (Duffie and Zhu, 2011).”
- Bank Networks: Contagion, Systemic Risk and Prudential Policy (2017, unknown): “The logic of the tâtonnement processes implies the introduction of fictitious Walrasian auctioneers (see also Cifuentes et al. (2005) or Duffie and Zhu (2011)) which collect individual notional quantities, aggregate them and adjust the relevant price in order to bring the notional aggregate demand…”
- Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Duffie and Zhu (2011) formally show that reducing the number of CCPs, ideally to one, would lower counterparty exposure and collateral demand.”
- Counterparty Credit Risk and the Credit Default Swap Market (2012, background): “For an in-depth discussion of the economics of CDS clearinghouse mechanisms, see Duffie and Zhu (2009). dealers’ credit risk to be more evident in selling credit protection on other financial firms.”