Central European Business Review Vol. 5 No. 4

Stress Indicator for Clearing Houses

DOI: https://doi.org/10.18267/j.cebr.166

[plný text (PDF)]

Edina Berlinger, Barbara Dömötör, Ferenc Illés, Kata Váradi

N/A

JEL klasifikace: G01, G23, G32

Reference:
Barker, R., Dickinson, A., Lipton, A., & Virmani, R. (2016). Systemic Risks in CCP Networks. arXiv preprint arXiv:1604.00254.

Camargo, S., Queirós, S. M. D., & Anteneodo, C. (2013). Bridging stylized facts in finance and data non-stationarities. European Physical Journal B, 86(159), 1-13.

Carlson, M. A., Thomas B. K., & Lewis, K. F. (2008). Distress in the Fi¬nancial Sector and Economic Activity. Federal Reserve Board. Finance and Economics Discussion Series No. 2008-43.

Cont, R., & Kokholm, T. (2014). Central Clearing of OTC Derivatives: bilateral and multilateral netting. Statistics & Risk Modeling, 31(1), 3-22.

Duffie, D., & Zhu, H. (2011). Does a central clearing counterparty reduce counterparty risk? Review of Asset Pricing Studies, 1(1), 74-95.

Duffie, D., Scheicher, M., & Vuillemey, G. (2015). Central clearing and collateral demand. Journal of Financial Economics, 116(2), 237-256.

European Commission (2012). Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012, on OTC derivatives, central counterparties and trade repositories. Retrieved January 2, 2017 from

http://eur-lex.europa.eu/LexUriServ/LexUriServ.do?uri=OJ:L:2012:201:0001:0059:EN:PDF

Hakkio, C. S., & Keeton, W. R. (2009). Financial stress: what is it, how can it be measured, and why does it matter? Economic Review, 94(2), 5-50.

Heller, D., & Vause, N. (2012). Collateral requirements for mandatory central clearing of over-the-counter derivatives. BIS Working Paper No. 373.

Hull, J. C. (2015). Risk Management and Financial Institutions. New York: John Wiley & Sons.

Illing, M., & Liu, Y. (2006). Measuring financial stress in a developed country: An application to Canada. Journal of Financial Stability, 2(3), 243-265.

Kiff, J., Elliott, J., Kazarian, E., Scarlata, Jodi, & Spackman, C. (2009). Credit Derivatives: Systemic Risks and Policy Options. IMF Working Paper 09/254.

Kiff, J., Dodd, R., Gullo, A., Kazarian, E., Lustgarten, I., Sampic, C., & Singh, M. (2010). Making Over-the-Counter Derivatives Safer: The Role of Central Counterparties. Global Financial Stability Report, IMF.

Kumar, M. S., & Persaud, A. (2001). Pure Contagion and Investors' Shifting Risk Appetite; Analytical Issues and Empirical Evidence. IMF Working Paper No. 01-134.

Library of Congress (2010). Dodd-Frank Wall Street Reform and Consumer Protection Act: Public Law 111-203 July 21st 2010. Library of Congress [online]. Retrieved January 2, 2017 from https://www.congress.gov/111/plaws/publ203/PLAW-111publ203.pdf

Lo, A. W., & Wang, J. (2009). Stock Market Trading Volume. in Y. Ait-Sahalia and L. Hansen, eds., The Handbook of Financial Econometrics. New York: North-Holland.

O’Donoghue, C. (2001). Dynamic Microsimulation: A Methodological Survey. Brazilian Electronic Journal of Economics, 4, 1-77.