We present CoMargin, a new methodology to estimate collateral requirements in derivatives central counterparties (CCPs). CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes trading externalities and...

We study the behavior of the interbank market before, during and after the 2008 financial crisis. Leveraging recent advances in network analysis, we study two network structures, a correlation network based on publicly traded bank returns, and a physical network based on interbank lending...

We utilize detailed, trader level data to examine the role of speculators during the failure of Amaranth Advisors, Inc. We find that speculators serve as a stabilizing force during this period, maintaining or increasing long positions even while prices are falling. We develop two testable...

Does central bank intervention improve liquidity in the interbank market during the current sub-prime crisis? To answer this question, we employ a unique dataset which reports trades and quotes of the e-MID, the only electronic, regulated interbank market in the world. Our results show that...

We study the motivations of interbank market traders around the 2007-09 subprime crisis with a new statistic that reveals the underlying urgency to borrow overnight funds, which we call Trading Urgency. We find that Trading Urgency leads sovereign CDS spreads and reacts to non-standard central...