We consider the problem of systemic risk assessment in interbank networks in which interbank liabilities can have multiple maturities. In particular, we allow for both short-term and long-term interbank liabilities. We develop a clearing mechanism for the interbank liabilities to deal with the...

We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for...

We consider the problem of systemic risk assessment in interbank networks in which interbank liabilities can have multiple maturities. In particular, we allow for both short-term and long-term interbank liabilities. We develop a clearing mechanism for the interbank liabilities to deal with the...

We consider the problem of systemic risk assessment in interbank networks in which interbank liabilities can have multiple maturities. In particular, we allow for both short-term and long-term interbank liabilities. We develop a clearing mechanism for the interbank liabilities to deal with the...

We analyse the consequences of post-trade risk reduction services for systemic risk in derivatives markets. Our focus is on portfolio rebalancing, which is a mechanism of injecting new trades to reduce the overall counterparty exposure, and portfolio compression, which is a mechanism to reduce...

We examine how the repo market operates during liquidity stress by applying network analysis to novel transaction-level data of the overnight gilt repo market including the Covid-19 crisis. During this crisis, the repo network becomes more connected, with most institutions relying on existing...

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...

This paper is concerned with systemic risk in the interbank market. We model this market as a directed graph in which the banks represent the nodes and the liabilities between the banks represent the edges. Our work builds on the modelling paradigm of Eisenberg and Noe (2001, Management Science,...

We analyse the consequences of conservative portfolio compression, i.e., netting cycles in financial networks, on systemic risk. We show that the recovery rate in case of default plays a significant role in determining whether portfolio compression is potentially beneficial. If recovery rates of...