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Applications of liquidity risk discovery using financial market infrastructures transaction archives
Heuver, Richard - 2020
Persistent link: https://www.econbiz.de/10012294786
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Payment coordination and liquidity efficiency in wholesale payments systems
Rivadeneyra, Francisco; Zhang, Nellie - In: The journal of financial market infrastructures 10 (2022) 3, pp. 31-68
Persistent link: https://www.econbiz.de/10014335792
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Liquidity Risk in Sequential Trading Networks
Kariv, Shachar - 2017
This paper develops a model of intermediated exchange with budget-constrained traders who are embedded in a trading network. An experimental investigation confirms the theory's baseline predictions. Traders adopt monotone strategies with higher-budget intermediaries offering to pay more for...
Persistent link: https://www.econbiz.de/10012967921
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Compressing Over-the-Counter Markets
D'Errico, Marco; Roukny, Tarik - 2021
In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross...
Persistent link: https://www.econbiz.de/10013248954
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Estimating the structure of the payment network in the LVTS : an application of estimating communities in network data
Chapman, James; Zhang, Nellie - 2010
the data. -- Payment, clearing, and settlement systems ; financial stability …In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the … relationships between participants in the payment system is a crucial step in achieving the goal. The set of nodes in any given …
Persistent link: https://www.econbiz.de/10003981323
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Does a Central Clearing Counterparty Reduce Liquidity Needs?
Hayakawa, Hitoshi - 2020
This study investigates whether and how central clearing influences the overall liquidity needs in a network of … financial obligations. Utilizing the approach of flow network theory, we show that the effect of adding a central clearing …
Persistent link: https://www.econbiz.de/10012856640
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Sequential payments and optimal pricing in payment systems
Ota, Tomohiro - In: Annals of finance 12 (2016) 3/4, pp. 441-463
Persistent link: https://www.econbiz.de/10011575174
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Banks and non-banks stressed : liquidity shocks and the mitigating role of insurance companies
Sydow, Matthias; Fukker, Gábor; Dubiel-Teleszynski, Tomasz - 2024
This paper documents the extension of the system-wide stress testing framework of the ECB with the insurance sector for a more thorough assessment of risks to financial stability. The special nature of insurers is captured by the modelling of the liability side and its loss absorbing capacity of...
Persistent link: https://www.econbiz.de/10015179762
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has …
Persistent link: https://www.econbiz.de/10011870658
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CDS central counterparty clearing default measures : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2020
Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …
Persistent link: https://www.econbiz.de/10012419635