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An analysis of settlement risk contagion in alternative securities settlement architectures

Iori, Giulia; Deissenberg, Christophe - In: Computational methods in financial engineering : essays …, (pp. 299-315). 2008

Persistent link: https://www.econbiz.de/10003669715

Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities

Feinstein, Zachary - 2017

We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a … financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in … is rarely available. As a result, the clearing vector may suffer from estimation errors in the liabilities matrix. We …

Persistent link: https://www.econbiz.de/10012948255

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing …

Persistent link: https://www.econbiz.de/10012419635

Cross-border interbank contagion risk analysis

Matousek, Roman - 2019

Persistent link: https://www.econbiz.de/10012252765

On the unification of centralized and decentralized clearing mechanisms in financial networks

Ketelaars, Martijn; Borm, Peter - 2021

Persistent link: https://www.econbiz.de/10012546882

Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

Bo, Lijun; Liu, Yanchu; Zhang, Tingting - In: Quantitative finance 21 (2021) 7, pp. 1187-1206

Persistent link: https://www.econbiz.de/10012588035

Systemic risk in markets with multiple central counterparties

Veraart, Luitgard; Aldasoro, Iñaki - 2022

Persistent link: https://www.econbiz.de/10013454045

Efficiency of central clearing under liquidity stress

Bardoscia, Marco; Caccioli, Fabio; Gao, Haotian - 2022

Persistent link: https://www.econbiz.de/10013536357

Counterparty Risk in the Over-The-Counter Derivatives Market

Singh, Manmohan; Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2008

or more banks or primary broker-dealers. We then stress the importance of "netting" within the OTC derivative contracts …

Persistent link: https://www.econbiz.de/10005825910

Czech Koruna and Polish Zloty; Spot and Currency Option Volatility Patterns

Morales, Armando Méndez - International Monetary Fund (IMF) - 2001

Exchange rate flexibility has facilitated an impressively fast insertion of the Czech koruna and the Polish zloty into the global currency market. However, exchange rate volatility patterns differ: Lower volatility is observed for the koruna against the euro relative to the U.S. dollar, while...

Persistent link: https://www.econbiz.de/10005826189