When does portfolio compression reduce systemic risk?

DOI10.1111/MAFI.12346MaRDI QIDQ6054425

Luitgard Anna Maria Veraart

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

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

cyclessystemic riskfinancial networksportfolio compressionnetting

Mathematics Subject Classification ID

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

Related Items (1)

Optimal network compression

Cites Work

• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Systemic Risk in Financial Systems
• To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
• Optimising the multilateral netting of fungible OTC derivatives
• Compressing Over-the-Counter Markets
• Central clearing of OTC derivatives: Bilateral vs multilateral netting
• Interbank Clearing in Financial Networks with Multiple Maturities
• Distress and default contagion in financial networks
• Network valuation in financial systems

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