A network model for central counterparty liquidity risk stress testing under incomplete information
Max Wong Chan Yue, Patrick Ge Pei and Lam Xin Yee
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Wong, Max Chan Yue ; Pei, Patrick Ge ; Yee, Lam Xin |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 5.2017, 3, p. 25-55
|
| Subject: | liquidity risk | stress testing | central counterparties | network model | margin requirement | spillover effect | Risikomanagement | Risk management | Bankenliquidität | Bank liquidity | Theorie | Theory | Stresstest | Stress test | Kreditrisiko | Credit risk | Unvollkommene Information | Incomplete information | Liquidität | Liquidity | Systemrisiko | Systemic risk | Clearing | Financial clearing | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Finanzmarktregulierung | Financial market regulation | Wertpapierhandel | Securities trading |