Central clearing and collateral demand

Martin Scheicher, Guillaume Vuillemey () and Darrell Duffie

No 1638, Working Paper Series from European Central Bank

Abstract: We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the JEL Classification: G20, G28, G15

Keywords: central clearing party; client clearing; collateral; credit default swap; margin (search for similar items in EconPapers)
Date: 2014-02
Note: 152802
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Related works:
Journal Article: Central clearing and collateral demand (2015)
Working Paper: Central Clearing and Collateral Demand (2014)
Working Paper: Central Clearing and Collateral Demand (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20141638

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