Share 'Does a Central Clearing Counterparty Reduce Counterparty Risk?'
Darrell Duffie and Haoxiang Zhu
We show whether adding a central clearing counterparty (CCP) for a particular asset class, such as credit derivatives, improves the e±ciency of counterparty risk mitigation and collateral demands, relative to bilateral netting between pairs of dealers. We show that, for plausible cases, adding a CCP for one class of derivatives such a…
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