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What is the minimal systemic risk in financial exposure networks?
Diem, Christian; Pichler, Anton; Thurner, Stefan - In: Journal of economic dynamics & control 116 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503232
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On shadow-prices of banks in real-time gross settlement systems
Penaloza, Rodrigo Andrés de Souza (contributor) - 2003
Persistent link: https://www.econbiz.de/10001774028
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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering expected cashflow gaps without violating regulatory and business constraints. Anticipated economic value loss, cashflow loss, and adverse market impact are the major drivers of...
Persistent link: https://www.econbiz.de/10012932264
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Calibration of the shadow rate to the euro area using genetic algorithms
McCoy, Eric; Clemens, Ulrich - 2017
Persistent link: https://www.econbiz.de/10011715027
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Centralized clearing mechanisms in financial networks : a programming approach
Csóka, Péter; Herings, Peter Jean-Jacques - 2022
We consider financial networks where agents are linked to each other with financial contracts. A centralized clearing … lattice structure, leading to the existence of a least and a greatest clearing payment matrix. Previous research has shown how … decentralized clearing selects the least clearing payment matrix. We present a centralized approach towards clearing in order to …
Persistent link: https://www.econbiz.de/10013173929
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Centralized Clearing Mechanisms in Financial Networks : A Programming Approach
Csóka, Péter; Herings, P. Jean-Jacques - 2022
We consider financial networks where agents are linked to each other with financial contracts. A centralized clearing … lattice structure, leading to the existence of a least and a greatest clearing payment matrix. Previous research has shown how … decentralized clearing selects the least clearing payment matrix. We present a centralized approach towards clearing in order to …
Persistent link: https://www.econbiz.de/10013294101
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Managing liquidity buffer through core liquidity portfolio
Chagwiza, Wilbert; Garira, Winston; Moyo, Simiso - In: Investment management and financial innovations 12 (2015) 1, pp. 70-77
Persistent link: https://www.econbiz.de/10010515774
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A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel
Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116
Persistent link: https://www.econbiz.de/10011327510
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Optimizing portfolio liquidation under risk-based margin requirements
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153
This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...
Persistent link: https://www.econbiz.de/10009746034
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The LIX : a model-independent liquidity index
Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231
Persistent link: https://www.econbiz.de/10011543981