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Journal Article
Credit derivatives: just-in-time provisioning for loan losses
Credit derivative contracts offer a new route for managing counterparty exposures. This article discusses two formats of these contracts. The contracts have potential for providing portfolio managers with a cost effective, just-in-time source of liquidity.
Newsletter
Futures margin and excess volatility
Working Paper
Contracting innovations and the evolution of clearing and settlement methods at futures exchanges
Defining futures contracts as substitutes for associated cash transactions enables a discussion of the evolution of controls over contract nonperformance risk. These controls are incorporated into exchange methods for clearing contracts. Three clearing methods are discussed: direct, ringing and complete. The incidence and operation of each are described. Direct-clearing systems feature bilateral contracts with terms specified by the counterparties to the contract. Exchanges relying on direct clearing system chiefly serve as mediators in trade disputes. Ringing is shown to facilitate contract ...