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Systemic risk in markets with multiple central counterparties
Veraart, Luitgard; Aldasoro, Iñaki - 2022
Persistent link: https://www.econbiz.de/10013454045
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Centralized clearing for credit derivatives
Acharya, Viral V.; Engle, Robert F.; Figlewski, Stephen; … - In: Restoring financial stability : how to repair a failed …, (pp. 251-268). 2009
Persistent link: https://www.econbiz.de/10003827517
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Clearing House, Margin Requirements, and Systemic Risk
Cruz Lopez, Jorge - 2018
Margins are the major safeguards against default risk on a derivatives exchange. When the clearing house sets margin … requirements, it does so by only focusing on individual clearing firm positions (e.g., the SPAN system). We depart from this … traditional approach and present an alternative method that accounts for inter-dependencies among clearing members when setting …
Persistent link: https://www.econbiz.de/10012922790
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The economics of central clearing
Menkveld, Albert J.; Vuillemey, Guillaume - In: Annual review of financial economics 13 (2021), pp. 153-178
Persistent link: https://www.econbiz.de/10012612508
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The efficiency of central clearing : a segmented markets approach
Hansen, James; Moore, Angus - 2016
Persistent link: https://www.econbiz.de/10013259667
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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Halaj, Grzegorz - 2020 - Last updated: September 28, 2020
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10012291202
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Uniqueness of equilibrium in a payment system with liquidation costs
Amini, Hamed; Filipović, Damir; Minca, Andreea - 2015 - This version: October 22, 2015
reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main …
Persistent link: https://www.econbiz.de/10011410730
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Contagion and equilibria in diversified financial networks
Amelkin, Victor; Venkatesh, Santosh S.; Vohra, Rakesh V. - 2021
Persistent link: https://www.econbiz.de/10013206233
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An optimization view of financial systemic risk modeling : network effect and market liquidity effect
Chen, Nan; Liu, Xin; Yao, David D. - In: Operations research 64 (2016) 5, pp. 1089-1108
Persistent link: https://www.econbiz.de/10011594656
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Systemic risk in networks with a central node
Amini, Hamed; Filipović, Damir; Minca, Andreea - 2020
We examine the effects on a financial network of clearing all contracts though a central node (CN) thereby transforming …
Persistent link: https://www.econbiz.de/10012180475