The Topology of Central Counterparty Clearing Networks and Network Stability

DOI10.1080/15326349.2014.868731zbMath1287.91150OpenAlexW2046483551MaRDI QIDQ5413853

Rui Song, Richard B. Sowers, Jonathan A. Jones

Publication date: 2 May 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2014.868731

zbMATH Keywords

clearingnetwork analysislarge deviations theorysystemic riskcentral counterparty

Mathematics Subject Classification ID

Large deviations (60F10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Cites Work

• A network analysis of the Italian overnight money market
• Numerical Methods in Finance and Economics
• Central clearing of OTC derivatives: Bilateral vs multilateral netting
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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