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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
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Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market
Fiedor, Paweł; Lapschies, Sarah; Országhová, Lucia - 2017
looking at counterparty relations within both direct (house) clearing and client clearing. Since the majority of the gross … notional is transferred within central counterparties and their clearing members, client clearing is often neglected in the … literature, despite its significance in terms of net exposures. We find that the client clearing structure is very strongly …
Persistent link: https://www.econbiz.de/10011978321
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Dark pools in European equity markets : emergence, competition and implications
Petrescu, Monica; Wedow, Michael - 2017
This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first documents the emergence and expansion of dark pools in European equity markets in the context of regulatory changes and increased high-frequency trading (HFT). It finds that the...
Persistent link: https://www.econbiz.de/10011673614
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Behaviour in the Canadian large-value payment system : COVID-19 vs. the global financial crisis
Chaudhry, Alexander; Kosse, Anneke; Sondergard, Karen - 2021 - Last updated: May 6, 2021
Persistent link: https://www.econbiz.de/10012628732
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Multiplex interbank networks and systemic importance : an application to European data
Aldasoro, Iñaki; Alves, Iván - 2016
Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures between large European banks broken down by both maturity and instrument...
Persistent link: https://www.econbiz.de/10011975150
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Financial contagion with spillover effects : a multiplex network approach
Peralta, Gustavo; Crisóstomo, Ricardo - 2016
This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions....
Persistent link: https://www.econbiz.de/10011975678
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Simulating fire-sales in a banking and shadow banking system
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017
, Faia and Kranen (2014) and introduce a clearing mechanism with an endogenous formation of asset prices. Both types of …
Persistent link: https://www.econbiz.de/10011976961
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The missing links : a global study on uncovering financial network structures from partial data
Anand, Kartik; Lelyveld, Iman van; Banai, Ádám; … - 2017
Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking, and instead the networks must be reconstructed...
Persistent link: https://www.econbiz.de/10011978283
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Systemic illiquidity in the interbank network
Ferrara, Gerardo; Langfield, Sam; Liu, Zijun; Ota, Tomohiro - 2018
We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...
Persistent link: https://www.econbiz.de/10011978830
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Tracing European structured finance counterparty networks
Amzallag, Adrien; Blau, Maximilian L. - 2017
Asset-backed securities (ABSs) and covered bonds (CBs) are structured finance instruments that require a range of key services, which may be provided by many firms. However, despite the prevalence of structured finance instruments in Europe, the network between issuers and service providers has...
Persistent link: https://www.econbiz.de/10011745805