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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

Contagion or Interdependence? Comparing Signed and Unsigned Spillovers

Islam, Raisul; Volkov, V. V. - 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

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

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

Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Cui, Zhenyu - 2018

We propose a novel central clearing counterparty (CCP) design for a financial network with multilateral clearing, where …

Persistent link: https://www.econbiz.de/10012935328

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

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

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

Central counterparty loss allocation and transmission of financial stress

Heath, Alexandra; Kelly, Gerard; Manning, Mark - 2015

Persistent link: https://www.econbiz.de/10012497636

Transparency and collateral : central versus bilateral clearing

Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 185-217

This paper studies the optimal clearing arrangement for bilateral financial contracts in which an assessment of …, at a cost, about the commitment of their borrowers, which affects the assessment of counterparty risk. Clearing through a … and reveal information. If information acquisition is incentive‐compatible, then lenders choose central clearing. If it is …

Persistent link: https://www.econbiz.de/10012806925