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The recent crises and central counterparty risk practices in the light of procyclicality : empirical evidence
Lewandowska, Olga; Glaser, Florian - In: The journal of financial market infrastructures 5 (2017) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10011673766
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A comparative analysis of tools to limit the procyclicality of initial margin requirements
Murphy, David; Vasios, Michalis; Vause, Nicholas - 2016
Persistent link: https://www.econbiz.de/10011480672
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Margin procyclicality and the collateral cycle
Benos, Evangelos; Ferrara, Gerardo; Ranaldo, Angelo - 2022
Persistent link: https://www.econbiz.de/10013185976
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A CBA of APC : analysing approaches to procyclicality reduction in CCP initial margin models
Murphy, David; Vause, Nicholas - 2021
Persistent link: https://www.econbiz.de/10012795359
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Reducing Margin Procyclicality at Central Counterparties
Raykov, Radoslav - 2021
Many jurisdictions identify margin procyclicality at central counterparties (CCPs) as a potential threat to financial stability. This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP. It finds that less procyclical margins do not...
Persistent link: https://www.econbiz.de/10014361610
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Mitigating margin procyclicality : the effectiveness of anti-procyclicality measures during the Covid-19 stress event
Kahros, Argyris; Weißler, Marco - In: The journal of financial market infrastructures 10 (2022) 3, pp. 69-97
Persistent link: https://www.econbiz.de/10014335794
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Procyclical variation margins in central clearing
Jin, YangKyu; Suh, Sangwon - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014491949
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Does interbank market matter for business cycle fluctuation? : an estimated DSGE model with financial frictions for the Euro area
Giri, Federico - In: Economic modelling 75 (2018), pp. 10-22
Persistent link: https://www.econbiz.de/10012101363
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Asset prices, collateral, and unconventional monetary policy in a DSGE model
Hilberg, Björn; Hollmayr, Josef - 2013
In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...
Persistent link: https://www.econbiz.de/10010192797
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Do Big Bank Equityholders 'Pay' for Bailout Insurance Over the Economic Cycle?
Del Viva, Luca - 2017
Contrary to public perception and previous literature on public bailout subsidies, we find over the recent 43-year … period equityholders in big banks paid fairly for TBTF bailout insurance in terms of equity returns. In normal (non …−Small bank equity premium and bailout insurance is fairly priced for equityholders in that there is no difference between big and …
Persistent link: https://www.econbiz.de/10012951828