A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is application/pdf
.
The Collateral Risk of ETFs
2014
Social Science Research Network
As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. In this paper, we present a framework to study counterparty risk and provide empirical estimates for a sample of physical and synthetic funds. Our findings contradict the allegations made by international agencies about the poor quality of the collateral used by ETFs. We find that the counterparty risk exposure is higher for synthetic ETFs but
doi:10.2139/ssrn.2462747
fatcat:a4tc5iqorbcatpkanams3petje