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Paper detail

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversification of their exposures. In this paper, we analyze how CCLs impact the prices that institutions pay for their trades during everyday trading. We study a high-quality data set from a large electronic trading platform in the foreign exchange spot market, which enables institutions to apply CCLs. We find empirically that CCLs had little impact on the vast majority of trades in this data. We also study the impact of CCLs using a new model of trading. By simulating our model with different underlying CCL networks, we highlight that CCLs can have a major impact in some situations.

preprint2021arXivOpen access
Martin D. GouldNikolaus HautschSam D. HowisonMason A. Porter
ApplicationsComputationecon.EMmath.PRq-fin.TR
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Open access4 authors5 topics
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Martin D. GouldNikolaus HautschSam D. HowisonMason A. Porter

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