's default and the ensuing default contagion. In unwinding the defaulter's positions, the CCP faces the price impact of …-mediated contagion and its amplification. A novel spatial measure captures the covariance between members' CDS holdings and the CDS being … theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides …

, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the … on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and …

value), the magnitude of default contagion, the price impact of pre- dation, and the disciplinary mechanism inherent in the … variation margin exchange – and provides real-world policy/regulatory implications for a variety of market liquidity states …

Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of …

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT … market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within … evidence that the three types of commonality in liquidity are priced in REIT returns but only during bad market conditions. We …

markets are sufficiently depressed in terms of prices, liquidity, and volatility. The objective of this paper is to examine …

collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash …-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing …