Margin requirements protect a central counterparty (CCP) and its users against potential losses generated by the default of any of its members. They have several components, one of them being the initial margin requirement, which is typically calculated using a market risk model to estimate the...

As a reaction to higher market volatility due to the global COVID-19 pandemic, in March 2020 some financial regulators imposed short-selling bans on equity markets. Their argument is that short-selling exacerbates downward price movements, thus being responsible for heightened volatility and...

Using timestamped orders and trades data from the Stock Exchange of Thailand, we studyhow different market participants - retail investors, domestic and foreign institutions - influence priceformation for different liquidity levels. We find that trading participants contribute heterogeneously...

Large-value payment systems (LVPS) often have a tiered structure where only a limited number of banks have direct access to these systems and every other institution accesses the system through agency arrangements with the direct participants. As such, a high degree of tiering is often perceived...

Large-value payment systems (LVPS) often have a tiered structure where only a limited number of banks have direct access to these systems and every other institution accesses the system through agency arrangements with the direct participants. As such, a high degree of tiering is often perceived...