Working paper
Contagion in derivatives markets
- Abstract:
-
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 collected, and liquidity buffers for about 900 firms operating in the U.S. credit default swaps market. We e...
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- Publication status:
- Published
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Bibliographic Details
- Publisher:
- University of Oxford Publisher's website
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2017-11-21
- Paper number:
- 839
Item Description
- Keywords:
- Pubs id:
-
1143543
- Local pid:
- pubs:1143543
- Deposit date:
- 2020-12-14
Terms of use
- Copyright date:
- 2017
- Rights statement:
- Copyright 2017 The Author(s)
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