Wave after Wave: Contagion Risk from Commodity Markets
نویسندگان
چکیده
منابع مشابه
Contagion in Derivatives Markets
A major credit shock can induce large intra-day variation margin payments between counterparties in derivatives markets, which may force some participants to default on their payments. These payment shortfalls become amplified as they cascade through the network of exposures. Using detailed DTCC data we model the full network of exposures, the shock-induced payments, the initial margin collecte...
متن کاملA kinematic wave theory of multi-commodity network traffic flow
A systematic understanding of traffic dynamics on road networks is crucial for many transportation studies and can help to develop more efficient ramp metering, evacuation, signal control, and other management and control strategies. In this study, we present a theory of multi-commodity network traffic flow based on the Lighthill–Whitham–Richards (LWR) model. In particular, we attempt to analyz...
متن کاملNonlinear Transfer From Wave-Wave Interactions
Nonlinear transfer from wave-wave i n teractions is an important term in the action-balance equation governing t h e e v olution of the surface-gravity-wave eld. Computation of this term, however, has hitherto been so consuming of computer resources that its full representation has not been feasible in nonparametric two-dimensional computer models of this e q u ation. This paper describes the i...
متن کاملCorrelations in Commodity Markets
In this paper we analyzed cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the ma...
متن کاملTechnical Analysis in Commodity Markets: Risk, Returns, and Value
Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets. Much prior research into technical analysis suffered from data-snooping biases. Using genetic programming, ex ante optimal technical trading strategies are identified. Because they are mechanically generated from simple arithmetic operators, they are fr...
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.2981596