When does portfolio compression reduce systemic risk?

DOI10.1111/MAFI.12346MaRDI QIDQ6054425zbMATH OpenFDO

Authors Luitgard A. M. Veraart

Publication date 28 September 2023

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://eprints.lse.ac.uk/113638/3/Mathematical_Finance_2022_Veraart_When_does_portfolio_compression_reduce_systemic_risk.pdf

zbMATH Keywords

cyclesfinancial networksnettingportfolio compressionsystemic risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Compressing over-the-counter markets
• Optimal network compression
• Systemic risk of portfolio diversification
• Network versus portfolio structure in financial systems
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach

Cites work

• Central clearing of OTC derivatives: bilateral vs multilateral netting
• Compressing over-the-counter markets
• Distress and default contagion in financial networks
• Interbank clearing in financial networks with multiple maturities
• Network valuation in financial systems
• Optimising the multilateral netting of fungible OTC derivatives
• Systemic risk in financial systems
• To fully net or not to net: adverse effects of partial multilateral netting

Cited in

(11)

• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• Optimal network compression
• Measuring financial systemic risk: net liability clearing mechanism and contagion effect
• Netting and novation in repo networks
• Systemic risk in markets with multiple central counterparties
• Dynamic debt swapping in financial networks
• Optimal bailouts and strategic debt forgiveness in financial networks
• Central limit theorems for price-mediated contagion in stochastic financial networks
• Algorithms for claims trading
• Two axiomatizations of the pairwise netting proportional rule in financial networks
• Fire sales, default cascades and complex financial networks

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