Resolving a clearing member's default a Radner equilibrium approach
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau, Mekonnen Tadese
| Year of publication: |
2025
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|---|---|
| Authors: | Bastide, Dorinel ; Crépey, Stéphane ; Drapeau, Samuel ; Tadese, Mekonnen |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 19.2025, 1, p. 183-223
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| Subject: | Auctioning | Central counterparties (CCPs) | Credit risk | Default resolution | Entropic risk measure | Exchanges | Expected shortfall | Financial markets | Hedging | Liquidation | Market risk | Price impact | Radner equilibrium | Valuation adjustments (XVA) | Kreditrisiko | Theorie | Theory | Finanzmarkt | Financial market | Risikomaß | Risk measure | Derivat | Derivative | Risiko | Risk | Risikomanagement | Risk management | Insolvenz | Insolvency | Portfolio-Management | Portfolio selection | Marktrisiko |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-024-00380-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015526406