between short-term repo and long-term investments that banks need to finance. The resulting rollover risk in repo financing … failing mechanism. I show that, as in the crisis, when collateral risk increases unexpectedly, the haircut and interest rate …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been …

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 …

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 …

risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been … Crises ; Macroprudential Risk ; Debt-Deflation Process ; Ponzi Finance …

encouraging banks to pursue safer investments in low-risk government securities …

A systemic risk measure is proposed accounting for links and mutual dependencies between financial institutions … utilising tail event information. FRM (Financial Risk Meter) is based on Lasso quantile regression designed to capture tail … systemic risk at selected areas and identifies risk factors. In practice, FRM is applied to the return time series of selected …