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Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives, and Margins

BIAIS, BRUNO ; HEIDER, FLORIAN ; HOEROVA, MARIE

The Journal of finance (New York), 2016-08, Vol.71 (4), p.1669-1698 [Periódico revisado por pares]

Cambridge: Blackwell Publishing Ltd

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  • Título:
    Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives, and Margins
  • Autor: BIAIS, BRUNO ; HEIDER, FLORIAN ; HOEROVA, MARIE
  • Assuntos: Business administration ; Contract incentives ; Credit risk ; Derivatives ; Financial liabilities ; Financial margins ; Humanities and Social Sciences ; Incentives ; Liability ; Limited liability ; Margin accounts ; Margin calls ; Moral hazard ; Moral hazard models ; Risk management ; Studies
  • É parte de: The Journal of finance (New York), 2016-08, Vol.71 (4), p.1669-1698
  • Notas: European Research Council - No. 295484-TAP
    istex:E3ABD71C8DDB96E7D0A76BE6238DB7C0756C6C47
    Appendix S1: Internet Appendix.
    ark:/67375/WNG-RPBTM5S9-G
    ArticleID:JOFI12396
    Journal of Finance
    s disclosure policy and have no conflicts of interest to disclose.
    Biais is with the Toulouse School of Economics (CRM/CNRS IDEI). Heider and Hoerova are with the European Central Bank and CEPR. We would like to thank the Acting Editor (Markus Brunnermeier), an Associate Editor, two anonymous referees, our discussants Ulf Axelson, Jonathan Berk, Sugato Bhattacharyya, Bruce Carlin, Simon Gervais, Artashes Karapetyan, Christine Parlour, Alp Simsek, and Lauri Vilmi, as well as numerous seminar and conference participants for their comments and suggestions. The views expressed do not necessarily reflect those of the European Central Bank or the Eurosystem. Biais gratefully acknowledges the support of the European Research Council (Grant 295484‐TAP). We have read the
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    SourceType-Scholarly Journals-1
    ObjectType-Feature-2
    content type line 23
  • Descrição: Derivatives activity, motivated by risk-sharing, can breed risk-taking. Bad news about the risk of an asset underlying a derivative increases protection sellers' expected liability and undermines their risk-prevention incentives. This limits risk-sharing, creates endogenous counterparty risk, and can lead to contagion from news about the hedged risk to the balance sheet of protection sellers. Margin calls after bad news can improve protection sellers' incentives and in turn enhance risk-sharing. Central clearing can provide insurance against counterparty risk but must be designed to preserve risk-prevention incentives.
  • Editor: Cambridge: Blackwell Publishing Ltd
  • Idioma: Inglês
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  • Realização: ABCD-USP USP   Logos de Redes Sociais: Freepik

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