EconPapers    
Economics at your fingertips  
 

On the Choice of Central Counterparties in the EU

Gabrielle Demange and Thibaut Piquard

Working papers from Banque de France

Abstract: New regulations promote the role of Central Counter-Parties (CCPs) as insurers of counterparty risk to stabilize derivative markets. Focusing on the demand side, we investigate how pairs of dealers choose the CCP on which they clear a given transaction. We use transaction data on three main CDS indices and focus on major dealers who are members of the two EU CCPs. Descriptive analysis shows that dealers do not optimize their positions across CCPs. Then, we build and test a reduced form model of CCP's choice. Differences in transaction size, two indicators of CCP's robustness and activities, squared positions to account for dealers' risk aversion, and market volatility affect this choice, but not the collateral costs, proxied by the dealers' positions.

Keywords: Central Counter-Party; Central Clearing; Dealers; Collateral (search for similar items in EconPapers)
JEL-codes: G18 G20 G23 G33 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2022
New Economics Papers: this item is included in nep-ban and nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... /documents/wp868.pdf

Related works:
Journal Article: On the choice of central counterparties in the EU (2023) Downloads
Working Paper: On the choice of central counterparties in the EU (2023)
Working Paper: On the choice of central counterparties in the EU (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:868

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().

 
Page updated 2025-03-30
Handle: RePEc:bfr:banfra:868