We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on … observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers …, (ii) investigating the role of portfolio composition in risk transfer, and (iii) computing target exposure structures able …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

The value of a statistical life (VSL) monetizes the expected loss in well-being associated with the risk of death. The … purposes of estimating the benefits of mortality risk reduction. Compared to ordinal well-being scales, the VSL also offers a …

Through the lens of market participants' objective to minimize counterparty risk, we investigate central clearing in … derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies … suggest that central clearing always reduces counterparty risk for a sufficiently large number of clearing members. We show …