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

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, a...

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Veröffentlicht in:	IDEAS Working Paper Series from RePEc 2016-08, Vol.71 (4), p.1669-1698
Hauptverfasser:	BIAIS, BRUNO, HEIDER, FLORIAN, HOEROVA, MARIE
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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