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...

We investigate how the pairing of dealers and customers in credit default swap (CDS) transactions is influenced by the participants' characteristics. Using data from the Depository Trust & Clearing Corporation on trade matching decisions in the UK CDS market, we employ a matching/network...

Clearing payments between firms are usually computed under the assumption that firms that cannot fully meet their obligations exhaust their cash resources to make partial payments. In practice, however, firms might wait and see whether they receive payments that would help them to meet their...

In this paper, we analyse the network of exposures constructed by using the UK trade repository data for three different categories of contracts: interest rate, credit, and foreign exchange derivatives. We study how liquidity shocks related to variation margins propagate across the network and...