IDEAS home Printed from https://ideas.repec.org/r/oxf/wpaper/886.html
   My bibliography  Save this item

Contagion in Derivatives Markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
  2. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
  3. Ghio, Maddalena & Rousová, Linda & Salakhova, Dilyara & Bauer, Germán Villegas, 2023. "Derivative margin calls: a new driver of MMF flows," Working Paper Series 2800, European Central Bank.
  4. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
  5. Shi, Qing & Sun, Xiaoqi & Jiang, Yile, 2022. "Concentrated commonalities and systemic risk in China's banking system: A contagion network approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  6. Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury, revised 14 Jul 2021.
  7. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  8. Walter Farkas & Patrick Lucescu, 2024. "Modeling Risk Sharing and Impact on Systemic Risk," Mathematics, MDPI, vol. 12(13), pages 1-19, July.
  9. Radoslav Raykov, 2024. "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers 24-46, Bank of Canada.
  10. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
  11. H Peyton Young & Mark Paddrik, 2019. "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers 885, University of Oxford, Department of Economics.
  12. Luitgard Anna Maria Veraart & Iñaki Aldasoro, 2025. "Systemic risk in markets with multiple central counterparties," Mathematical Finance, Wiley Blackwell, vol. 35(1), pages 214-262, January.
  13. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
  14. Jukonis, Audrius & Letizia, Elisa & Rousová, Linda, 2022. "The impact of derivatives collateralisation on liquidity risk: evidence from the investment fund sector," Working Paper Series 2756, European Central Bank.
  15. Barnett, William A. & Wang, Xue & Xu, Hai-Chuan & Zhou, Wei-Xing, 2022. "Hierarchical contagions in the interdependent financial network," Journal of Financial Stability, Elsevier, vol. 61(C).
  16. H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
  17. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
  18. Luitgard Anna Maria Veraart, 2022. "When does portfolio compression reduce systemic risk?," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 727-778, July.
  19. David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
  20. Radoslav Raykov, 2024. "Decomposing Large Banks’ Systemic Trading Losses," Staff Working Papers 24-6, Bank of Canada.
  21. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
  22. Ghamami, Samim & Paddrik, Mark & Zhang, Simpson, 2023. "Central Counterparty Default Waterfalls and Systemic Loss," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(8), pages 3577-3612, December.
  23. Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
  24. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  25. Jin, YangKyu & Suh, Sangwon, 2024. "Procyclical variation margins in central clearing," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  26. Zachary Feinstein & Andreas Sojmark, 2022. "Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today," Papers 2211.15431, arXiv.org, revised Feb 2025.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.