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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

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