The impact of derivatives collateralisation on liquidity risk: Evidence from the investment fund sector
Year of publication: |
2022
|
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Authors: | Jukonis, Audrius ; Letizia, Elisa ; Rousová, Linda |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | variation margin | EMIR data | market stress | big data | non-bank financial intermediaries |
Series: | ECB Working Paper ; 2756 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-92-899-5468-6 |
Other identifiers: | 10.2866/83863 [DOI] 1831519526 [GVK] hdl:10419/278281 [Handle] |
Classification: | C60 - Mathematical Methods and Programming. General ; G23 - Pension Funds; Other Private Financial Institutions ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: |
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Jukonis, Audrius, (2022)
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Evaluating market risk from leveraged derivative exposures
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