A network model for central counterparty liquidity risk stress testing under incomplete information
Year of publication: |
March 2017
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Authors: | Wong, Max Chan Yue ; Pei, Patrick Ge ; Yee, Lam Xin |
Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 5.2017, 3, p. 25-55
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Subject: | liquidity risk | stress testing | central counterparties | network model | margin requirement | spillover effect | Theorie | Theory | Bankenliquidität | Bank liquidity | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Clearing | Financial clearing | Unvollkommene Information | Incomplete information | Volatilität | Volatility |
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