Simulating liquidity stress in the derivatives market

DOI10.1016/J.JEDC.2021.104215zbMath1478.91176OpenAlexW3194389499MaRDI QIDQ2054815

Marco Bardoscia, Gerardo Ferrara, Michael Yoganayagam, Nicholas Vause

Publication date: 3 December 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2019/simulating-liquidity-stress-in-the-derivatives-market.pdf

zbMATH Keywords

derivativessystemic riskfinancial networkscentral counterparties

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Credit default swaps and systemic risk
• The intraday liquidity management game
• Systemic Risk in Financial Systems

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