Netting and novation in repo networks

DOI10.1142/S0219024924500171MaRDI QIDQ6644196zbMATH OpenFDO

Authors Hassan Chehaitli, M. R. Grasselli, T. R. Hurd, Weijie Pang

Publication date 27 November 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/S0219024924500171

zbMATH Keywords

agent-based modelbanking networkcollateral rehypothecationdefault resolutioninterconnected balance sheetsliquidityrepo market

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A repo model of fire sales with VWAP and LOB pricing mechanisms
• Bank panics and fire sales, insolvency and illiquidity
• Compressing over-the-counter markets
• Contagion! Systemic risk in financial networks
• Network science. With Márton Pósfai
• Optimal network compression
• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
• Suffocating Fire Sales
• Systemic risk in financial systems
• When does portfolio compression reduce systemic risk?
• Where the risks lie: a survey on systemic risk

Cited in

(1)

• Brief synopsis of the scientific career of T. R. Hurd

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