On the choice of central counterparties in the EU
Gabrielle Demange
(1, 2)
,
Thibaut Piquard
(3)
Gabrielle Demange
- Fonction : Auteur
- PersonId : 1216203
- IdHAL : gabrielle-demange
- ORCID : 0000-0003-2382-4988
Résumé
We study competition between European Union’s Central CounterParties (CCPs) on the credit default swap (CDS) market. Using data on market shares, we show that CCPs have a monopoly for single-name CDSs and compete on indices along various dimensions. Using transactions data, we focus on the major dealers who alternatively clear their transactions on the two main CCPs. Estimating their choice of CCP reveals that fees, CCPs’ robustness and activity, dealers’ risk, and market volatility are significant. Dealers’ positions indicate that saving on collateral costs is secondary relative to the benefits of dual membership and quality.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
On the choice of central counterparties in the EU
|
Résumé |
en
We study competition between European Union’s Central CounterParties (CCPs) on the credit default swap (CDS) market. Using data on market shares, we show that CCPs have a monopoly for single-name CDSs and compete on indices along various dimensions. Using transactions data, we focus on the major dealers who alternatively clear their transactions on the two main CCPs. Estimating their choice of CCP reveals that fees, CCPs’ robustness and activity, dealers’ risk, and market volatility are significant. Dealers’ positions indicate that saving on collateral costs is secondary relative to the benefits of dual membership and quality.
|
Auteur(s) |
Gabrielle Demange
1, 2
, Thibaut Piquard
3
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 578027 )
- 48 boulevard Jourdan 75014 Paris
- France
3
Banque de France -
Banque de France
( 183299 )
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Date de publication |
2023-06
|
Volume |
64
|
Page/Identifiant |
100819
|
Public visé |
Scientifique
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Domaine(s) |
|
Projet(s) ANR |
|
Mots-clés (JEL) |
|
Mots-clés |
en
Central counter-party, Central clearing, Dealers, Collateral
|
DOI | 10.1016/j.finmar.2023.100819 |
UT key WOS | 001009274000001 |
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