TY  - UNPD
A1  - Koeppl, Thorsten V.
A1  - Monnet, Cyril
T1  - Central counterparties
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,42
N2  - 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.
T3  - CFS working paper series - 2008, 42 
KW  - Central Counterparty
KW  - Clearing
KW  - Default
KW  - Collateral
KW  - Risk Management
KW  - Zentraler Kontrahent
KW  - Deutsche Börse
KW  - Vertragsschluss
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6185
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62217
ER  -