Netting and novation in repo networks

DOI10.1142/s0219024924500171MaRDI QIDQ6644196

Weijie Pang, Hassan Chehaitli, M. R. Grasselli, T. R. Hurd

Publication date: 27 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

liquidityagent-based modelrepo marketdefault resolutionbanking networkcollateral rehypothecationinterconnected balance sheets

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• A repo model of fire sales with VWAP and LOB pricing mechanisms
• Contagion! Systemic Risk in Financial Networks
• Systemic Risk in Financial Systems
• Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
• Where the Risks Lie: A Survey on Systemic Risk*
• BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY
• Suffocating Fire Sales
• Compressing Over-the-Counter Markets
• When does portfolio compression reduce systemic risk?
• Optimal network compression

Related Items (1)

Brief synopsis of the scientific career of T. R. Hurd

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