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 |
Files in This Item:
File | Description | Size | Format | |
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RML-CME-2012.pdf | Main Working Paper | 308.2 kB | Adobe PDF | View/Open |
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