EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/43277
  
Title:Central counterparties PDF Logo
Authors:Koeppl, Thorsten V.
Monnet, Cyril
Issue Date:2008
Series/Report no.:CFS Working Paper 2008/42
Abstract:Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It is optimal for the CCP to face default losses to achieve the efficient level of trade. To cover these losses, the CCP optimally uses margin calls, and, as the default problem becomes more severe, also requires default funds and then imposes position limits.
Subjects:Central Counterparty
Clearing
Default
Collateral
Risk Management
JEL:G20
G30
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-62217
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
599235330.pdf346.17 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/43277

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.