Suchergebnisse
Filter
12 Ergebnisse
Sortierung:
SSRN
Assessing the Safety of Central Counterparties
In: Mark Paddrik and H. Peyton Young. (2021) Assessing the Safety of Central Counterparties Office of Financial Research Working Paper No 21-02
SSRN
Central Counterparty Default Waterfalls and Systemic Loss
In: OFR WP 20-04
SSRN
Working paper
Market-Making Costs and Liquidity: Evidence from CDS Markets
In: OFR 19-01
SSRN
Working paper
An Agent-Based Model for Crisis Liquidity Dynamics
In: Office of Financial Research Working Paper No. 15-18
SSRN
Working paper
Bank Networks and Systemic Risk: Evidence from the National Banking Acts
In: American economic review, Band 109, Heft 9, S. 3125-3161
ISSN: 1944-7981
The National Banking Acts (NBAs) of 1863–1864 established rules governing the amounts and locations of interbank deposits, thereby reshaping the bank networks. Using unique data on bank balance sheets and detailed interbank deposits in 1862 and 1867 in Pennsylvania, we study how the NBAs changed the network structure and quantify the effect on financial stability in an interbank network model. We find that the NBAs induced a concentration of interbank deposits at both the city and bank levels, creating systemically important banks. Although the concentration facilitated diversification, contagion would have become more likely when financial center banks faced large shocks. (JEL E44, G01, G21, G28, L14, N21)
The Dynamics of the U.S. Overnight Triparty Repo Market
In: FEDS Notes No. 2021-08-02
SSRN
SSRN
Working paper
Cross-Asset Market Order Flow, Liquidity, and Price Discovery
In: OFR WP 19-04
SSRN
Effects of Limit Order Book Information Level on Market Stability Metrics
In: Journal of Economic Interaction and Coordination, Forthcoming
SSRN
Working paper
Interbank Market Formation through Reinforcement Learning and Risk Aversion
In: Stevens Institute of Technology School of Business Research Paper
SSRN
Working paper
SSRN