Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/172248 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 581
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an otherwise centralized pool. We address the question of how this mechanism impacts trade prices and volatility, both empirically and via a new model of trading with CCLs. We find empirically that CCLs cause little impact on trade. However, our model highlights that in extreme situations, CCLs could serve to destabilize prices and thereby influence systemic risk.
Schlagwörter: 
Counterparty Credit Limits
Counterparty Risk
Price Formation
Market Design
Systemic Risk
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
2.83 MB





Publikationen in EconStor sind urheberrechtlich geschützt.