Events Calendar

DSAS Colloquium - Christoph Frei

Thursday, November 15, 2018
3:30 pm
Western Science Centre (WSRC)
Room: 240

Speaker: Christoph Frei (Alberta)

Title: Trading and Risk Management in Over-the-Counter Markets

Abstract: In over-the-counter markets, there is no centralized exchange, and participants negotiate bilaterally over traded quantities and prices. Such markets are important in trading between banks and have moved into the focus of regulators since the Global Financial Crisis of 2007-2008. We develop a framework of trading in over-the-counter markets, where banks account for counterparty risk (the risk that the trading partner defaults) when they make trading decisions. We investigate how counterparty risk is managed, and the extent to which it affects trading decisions. Using data on such markets, we confirm statistically our major theoretical implications on the structure of over-the-counter markets. The talk is based on joint work with Agostino Capponi (Columbia University) and Celso Brunetti (Federal Reserve Board).


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