Narrow search
Showing 1 - 10 of 787
Cover Image
Payment coordination and liquidity efficiency in wholesale payments systems
Rivadeneyra, Francisco; Zhang, Yinan - In: The journal of financial market infrastructures 10 (2022) 3, pp. 31-68
Persistent link: https://www.econbiz.de/10014335792
Cover Image
Strategic default in financial networks
Allouch, Nizar; Jalloul, Maya - 2018
clearing mechanism introduced in the seminal contribution of Eisenberg and Noe (2001). We first show the existence of a Nash …
Persistent link: https://www.econbiz.de/10011812108
Cover Image
Strategic default in financial networks
Allouch, Nizar; Jalloul, Maya - 2017
clearing mechanism introduced in the seminal contribution of Eisenberg and Noe (2001). We first show the existence of a Nash …
Persistent link: https://www.econbiz.de/10011790364
Cover Image
Digital payments in firm networks : theory of adoption and quantum algorithm
Priazhkina, Sofia; Palmer, Samuel; Martín-Ramiro, Pablo; … - 2024 - Last updated: May 15, 2024
We build a network formation game of firms with trade flows to study the adoption and usage of a new digital currency as an alternative to correspondent banking. We document endogenous heterogeneity and inefficiency in adoption outcomes and explain why higher usage may correspond to lower...
Persistent link: https://www.econbiz.de/10014562909
Cover Image
Filling in the blanks : network structure and interbank contagion
Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines...
Persistent link: https://www.econbiz.de/10010363584
Cover Image
Retrieving implied financial networks from bank balance - sheet and market data
Fique, José - 2017
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. However, frequently, market participants do not observe the actual network of exposures. I propose an...
Persistent link: https://www.econbiz.de/10011686640
Cover Image
Uniqueness of clearing payment matrices in financial networks
Csóka, Péter; Herings, Peter Jean-Jacques - 2021
payment matrices is shown to be a lattice, which guarantees the existence of a greatest and a least clearing payment …. Multiplicity of clearing payment matrices is both a theoretical and a practical concern. We present a new condition for uniqueness … division rules involving priorities are not positive monotonic, uniqueness of the clearing payment matrix is a much bigger …
Persistent link: https://www.econbiz.de/10012623747
Cover Image
When lower risk increases profit : competition and control of a central counterparty
Fontaine, Jean-Sébastien; Pérez Saiz, Héctor; Slive, … - 2012
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk. Increasing the number...
Persistent link: https://www.econbiz.de/10009668404
Cover Image
Are counterparty arrangements in reinsurance a threat to financial stability?
Davison, Matt; Leadbetter, Darrell; Lu, Bin; Voll, Jane - 2016
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real...
Persistent link: https://www.econbiz.de/10011521658
Cover Image
The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
Persistent link: https://www.econbiz.de/10012798791