An innovative approach for optimising CCP default management through agent-based modelling
Year of publication: |
2024
|
---|---|
Authors: | Wise, Richard ; Chen, Tao ; Zhu, Dingqiu |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8895, ZDB-ID 2439841-X. - Vol. 17.2024, 3, p. 286-293
|
Subject: | ABM | agent-based model | CCP | central clearing counterparty | concentration risk | default management | liquidity risk | margin | Agentenbasierte Modellierung | Agent-based modeling | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Clearing | Financial clearing | Risikomanagement | Risk management |
-
Systemic risk in central counterparty clearing houses
Anonymous, (2014)
-
The end of the waterfall : default resources of central counterparties
Cont, Rama, (2015)
-
Empirical analysis of collateral at central counterparties
Grothe, Magdalena, (2021)
- More ...
-
Debunking the securitisation myth : understanding why the 2007 credit crunch happened
Wise, Richard, (2008)
-
An arbitrage-based risk diagnostic of the cross-currency basis swap
Wise, Richard, (2008)
-
Ergodic failure : the key vulnerability in derivatives modelling
Wise, Richard, (2009)
- More ...