Derivatives and systemic risk: Netting, collateral, and closeout

Journal of Financial Stability

Volumn 2, Issue 1, 2006, Pages 55-70

  Bliss, Robert R ^a,b   Kaufman, George G ^b,c  

^a WAKE FOREST UNIVERSITY   (United States)

^b FEDERAL RESERVE BANK OF CHICAGO   (United States)

^c LOYOLA UNIVERSITY CHICAGO   (United States)

Author keywords

Bankruptcy; Closeout; Derivatives; Netting; Systemic risk

Indexed keywords

EID: 33646148256     PISSN: 15723089     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfs.2005.05.001     Document Type: Article

References (23)

1. Baird D.G. Elements of Bankruptcy 3e (2001), Foundation Press, New York, NY
2. Bank of International Settlements (BIS), 1989. Report on Netting Schemes (February).
3. Bank of International Settlements (BIS), 1990. Report of the Committee on Interbank Netting Schemes of the Central Banks of the Group of Ten Countries (November).
4. Bank of International Settlements (BIS), 2004. OTC Derivatives Markets Activity in the Second Half of 2003 (May).
5. Bergman W.J., Bliss R.R., Johnson C.A., and Kaufman G.G. In: Kaufman G. (Ed). Netting, Financial Contracts, and Banks: The Economic Implications" in Market Discipline in Banking: Theory and Evidence, vol. 15 of Research in Financial Services (2003), Elsevier Press, Amsterdam 303-334
6. Bliss R.R. In: Kaufman G. (Ed). Resolving Large Complex Financial Organizations in Market Discipline in Banking: Theory and Evidence, vol. 15 of Research in Financial Services (2003), Elsevier Press, Amsterdam 3-31
7. Bliss, Robert R., George G., Kaufman, 2006 U.S. Corporate and Bank Insolvency Regimes: An Economic Comparison and Evaluation, WP-2006-01, Federal Reserve Bank of Chicago.
8. Borio, Claudio, 2004. Market Distress and Vanishing Liquidity: Anatomy and Policy Options. BIS Working Papers No 158, Bank of International Settlements.
9. Bris, Arturo, Ivo Welch, Ning Zhu, 2004. The Costs of Bankruptcy: Chapter 7 Cash Auctions versus Chapter 11 Bargaining, Yale ICF Working Paper No. 04-13.
10. Edwards F.R., and Morrison E.R. Derivatives and the Bankruptcy Code: Why the Special Treatment?. Yale J. Regul. 22 1 (2005) 91-122
11. Emmons W.R. In: Kaufman G. (Ed). Interbank Netting Agreements and the Distribution of Bank Default Risk. In: Market Discipline in Banking: Theory and Evidence, vol. 15 of Research in Financial Services (2003), Elsevier Press, Amsterdam
12. Franks J.R., and Torous W.N. An Empirical Investigation of U.S. Firms in Reorganization. J. Finance 44 3 (1988) 747-769
13. Furfine C.H. The interbank market during a crisis. Eur. Econ. Rev. 46 4-5 (2002) 809-820
14. Furfine C.H. Interbank exposures: quantifying the risk of contagion. J. -Money,-Credit Banking 35 1 (2003) 111-128
15. International Swaps and Derivatives Association (ISDA), 2004a. ISDA Margin Survey 2004, http://www.isda.org.
16. International Swaps and Derivatives Association (ISDA), 2004b. Counterparty Credit Exposure among Major Derivatives Dealers, March 31, http://www.isda.org/.
17. Johnson C.A. Over-the-Counter Derivatives Documentation: A Practical Guide for Executives (2000), Browne & Company, New York
18. Kaufman G.G. Bank contagion: a review of the theory and evidence. J. Finan. Serv. Res. 8 2 (1994) 123-150
19. Kaufman, George G., 2003a. A proposal for efficiently resolving out-of-the-money swap positions at large insolvent banks. Federal Reserve Bank of Chicago Working Paper 2003-01.
20. Kaufman G.G., and Scott K.E. What is systemic risk and do bank regulators retard or contribute to it?. Independent Rev. 7 3 (2003) 371-391
21. Krimminger, Michael, 2005. Adjusting the Rules: The Financial Contract Provisions of the Bankruptcy Abuse and Prevention and Consumer Protection Act of 2005. (Public Law 109-8), working paper.
22. Office of the Comptroller of the Currency (OCC), 2004. "OCC Bank Derivatives Report, Fourth Quarter 2004, http://www.occ.gov/ftp/deriv/dq404.pdf.
23. President's Working Group on Financial Markets, Report of the, 1999. Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management.