Benos, Evangelos
[VerfasserIn]
;
Garratt, Rodney
[Sonstige Person, Familie und Körperschaft];
Zimmerman, Peter
[Sonstige Person, Familie und Körperschaft]
The Role of Counterparty Risk in CHAPS Following the Collapse of Lehman Brothers
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 14, 2014 erstellt
Beschreibung:
We study the impact of the global financial crisis on CHAPS, the United Kingdom's large value payments system, over the period 2006-2009. Core infrastructures functioned smoothly throughout the crisis and settlement banks continued to meet their payment obligations. However, payments data show that in the two months following the Lehman Brothers failure, banks did, on average, make payments at a slower pace than before the failure. We show that this slowdown is related to concerns about counterparty default risk, thereby identifying a new channel through which counterparty risk manifests itself in financial markets