Hidden Illiquidity with Multiple Central Counterparties

DOI10.1287/opre.2015.1420zbMath1378.91120OpenAlexW3123373346MaRDI QIDQ3178763

Ciamac Cyrus Moallemi, Kai Yuan, Paul Glasserman

Publication date: 20 December 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b4df3139555252053bdc9cdf9b3ef37be04ea2f2

zbMATH Keywords

financial institutionsgovernment regulationfinance securities

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (9)

Compressing Over-the-Counter Markets ⋮ Preface to the Special Issue on Systemic Risk: Models and Mechanisms ⋮ To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting ⋮ Star-Shaped Risk Measures ⋮ Systemic risk and optimal fee for central clearing counterparty under partial netting ⋮ Optimal network compression ⋮ Systemic Risk in Networks with a Central Node ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

Cites Work

• Series and parallel addition of matrices
• Continuous Auctions and Insider Trading
• Central clearing of OTC derivatives: Bilateral vs multilateral netting

This page was built for publication: Hidden Illiquidity with Multiple Central Counterparties