Interbank Clearing in Financial Networks with Multiple Maturities
نویسندگان
چکیده
منابع مشابه
Does Central Clearing Reduce Counterparty Risk in Realistic Financial Networks?
Novating a single asset class to a central counterparty (CCP) in an over-the-counter derivatives trading network impacts both the mean and variance of total net exposures between counterparties. When a small number of dealers trade in a relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to increased counterparty risk and h...
متن کاملFinding Clearing Payments in Financial Networks with Credit Default Swaps is PPAD-complete
We consider the problem of clearing a system of interconnected banks that have been exposed to a shock on their assets. Eisenberg and Noe (2001) showed that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments can be computed in polynomial time. In this paper, we show that the situation changes radically when banks can also enter into credit d...
متن کاملTwo-Stage Stochastic Day-Ahead Market Clearing in Gas and Power Networks Integrated with Wind Energy
The significant penetration rate of wind turbines in power systems made some challenges in the operation of the systems such as large-scale power fluctuations induced by wind farms. Gas-fired plants with fast starting ability and high ramping can better handle natural uncertainties of wind power compared to other traditional plants. Therefore, the integration of electrical and natural gas syste...
متن کاملThe Computational Complexity of Clearing Financial Networks with Credit Default Swaps
We consider the problem of clearing a system of interconnected banks. Prior work has shown that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments can be computed in polynomial time. In this work, we show that the computational complexity of the clearing problem drastically increases when banks can also enter into credit default swaps (CDSs)...
متن کاملEvolution of Controllability in Interbank Networks
The Statistical Physics of Complex Networks has recently provided new theoretical tools for policy makers. Here we extend the notion of network controllability to detect the financial institutions, i.e. the drivers, that are most crucial to the functioning of an interbank market. The system we investigate is a paradigmatic case study for complex networks since it undergoes dramatic structural c...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3002637