Exchanging collateral has emerged as the market standard for mitigating counterparty credit risk in the interbank derivatives market. Collateral postings do not, however, eliminate that risk completely. Most notably, the so-called gap risk remains, which is the risk that in the event of...

Analytical framework in assessing systemic financial market infrastructure / by Nephil Matangi Maskay -- Analytical framework in assessing systemic financial market infrastructure of India / by Edwin Prabu A. -- Analytical framework in assessing systemic financial market infrastructures in...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...