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SUMMARY:Network structure and central clearing in the CDS market - Vuillem
 ey\, V (Sciences-Po)
DTSTART:20140822T080000Z
DTEND:20140822T084500Z
UID:TALK53863@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We use an extensive data set of bilateral exposures on credit 
 default swap (CDS) to estimate the impact on collateral demand of new marg
 in and clearing practices and regulations. We decompose collateral demand 
 for both customers and dealers into several key components\, including the
  "velocity drag" associated with variation margin movements. We demonstrat
 e the impact on collateral demand of more widespread initial margin requir
 ements\, increased novation of CDS to central clearing parties (CCPs)\, an
  increase in the number of clearing members\, the proliferation of CCPs of
  both specialized and non-specialized types\, and client clearing. Among o
 ther results\, we show that system-wide collateral demand is increased sig
 nificantly by the application of initial margin requirements for dealers\,
  whether or not the CDS are cleared. Given these dealer-to-dealer initial 
 margin requirements\, however\, mandatory central clearing is shown to low
 er\, not raise\, system-wide collateral demand\, provided there is no sign
 ificant proliferation of CCPs. Central clearing does\, however\, have sign
 ificant distributional consequences for collateral requirements across var
 ious types of market participants.\n\nJoint work with D Duffie and M Schei
 cher.\n\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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