Systemic risk and optimal fee for central clearing counterparty under partial netting

DOI10.1016/j.orl.2018.03.001OpenAlexW2789269254WikidataQ130097261 ScholiaQ130097261MaRDI QIDQ2417156

Qi Feng, Ruimeng Hu, Bin Zou, Zhen-Yu Cui

Publication date: 11 June 2019

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

Full work available at URL: https://doi.org/10.1016/j.orl.2018.03.001

zbMATH Keywords

optimizationfinancial networksystemic riskshortfallclearing fee

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Systemic risk models for disjoint and overlapping groups with equilibrium strategies

Cites Work

• Financial contagion and asset liquidation strategies
• Uniqueness of equilibrium in a payment system with liquidation costs
• Coherent Measures of Risk
• Systemic Risk in Financial Systems
• Hidden Illiquidity with Multiple Central Counterparties
• Measures of Systemic Risk
• Central clearing of OTC derivatives: Bilateral vs multilateral netting

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