Narrow search
Showing 1 - 10 of 2,761
Cover Image
Diversification vs. Contagion in Inter-Linked Portfolios
Meyricke, Ramona - 2013
Inter-linkages between firms are a channel by which idiosyncratic shocks to one firm can affect the returns of linked counterparties. We extend a factor model of returns to allow for the transmission of idiosyncratic shocks between linked counterparties. We show that the structure of...
Persistent link: https://www.econbiz.de/10013092524
Cover Image
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
Cover Image
Executive Network Centrality and Stock Liquidity
Egginton, Jared F. - 2018
We examine the relationship between stock market liquidity and the network centrality of firm executives. We find that firms whose executive officers are more central in the network of executives have narrower spreads and reduced stock liquidity costs. We use an exogenous network centrality...
Persistent link: https://www.econbiz.de/10012917942
Cover Image
Compressing over-the-counter markets
D'Errico, Marco; Roukny, Tarik - 2017
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/10011976943
Cover Image
Contagion or Interdependence? Comparing Signed and Unsigned Spillovers
Islam, Raisul; Volkov, Vladimir - 2020
Differentiating between `good' and `bad' spillovers we disentangle sources of potential crisis from the intricately complex web of connections across international equity markets. In particular, we analyze the behaviour of 30 global equity markets and compute multiple spillover measures, which...
Persistent link: https://www.econbiz.de/10014097063
Cover Image
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
Cover Image
Does Central Clearing Reduce Counterparty Risk in Realistic Financial Networks?
Garratt, Rodney - 2015
relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to …
Persistent link: https://www.econbiz.de/10013017421
Cover Image
Does Central Clearing Reduce Counterparty Risk in Realistic Financial Networks?
Garratt, Rodney - 2015
relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to …
Persistent link: https://www.econbiz.de/10013025608
Cover Image
Centralized clearing mechanisms in financial networks : a programming approach
Csóka, Péter; Herings, Peter Jean-Jacques - 2022
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 … select the greatest clearing payment matrix. To do so, we formulate the determination of the greatest clearing payment matrix …
Persistent link: https://www.econbiz.de/10013173929
Cover Image
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