|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/31551
|
| Title: | FX Counterparty Risk and Trading Activity in Currency Forward and
Futures Markets |
| Authors: | Levich, Richard M. |
| Issue Date: | 29-May-2012 |
| Series/Report no.: | FIN-12-005 |
| Abstract: | The Global Financial Crisis initiated a period of market turbulence and
increased counterparty risk for financial institutions. Even though the
Dodd-Frank Act is likely to exempt interbank foreign exchange trading
from a central counterparty mandate, market participants have the option
to trade currency futures on existing futures markets which standardize
counterparty risks. Evidence for the period 2005-11 indicates that the
market share of currency futures trading has grown relative to the
pre-crisis period. This shift may be the result of a perceived increase
in counterparty risk among banks, as well as changes in relative trading
costs or changes in other institutional factors. |
| URI: | http://hdl.handle.net/2451/31551 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
