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Mark Endel Paddrik

Personal Details

First Name:Mark
Middle Name:Endel
Last Name:Paddrik
Suffix:
RePEc Short-ID:ppa1158
https://sites.google.com/site/markpaddrik/

Affiliation

Office of Financial Research
Department of the Treasury
Government of the United States

Washington, District of Columbia (United States)
http://www.treasury.gov/initiatives/ofr/Pages/default.aspx

: 202-622-2000
202-622-6415
202-622-2000
RePEc:edi:ofrgvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.
  2. Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
  3. H Peyton Young & Mark Paddrik, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.
  4. H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in Derivatives Markets," Economics Series Working Papers 839, University of Oxford, Department of Economics.
  5. Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.
  6. Mark Paddrik & Jessie Jiaxu Wang, 2016. "Bank Networks and Systemic Risk: Evidence from the National Banking Acts," Working Papers 16-13, Office of Financial Research, US Department of the Treasury.
  7. Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016. "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers 16-14, Office of Financial Research, US Department of the Treasury.
  8. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.
  9. Mark E. Paddrik & Richard Haynes & Andrew E. Todd & Peter A. Beling & William T. Scherer, 2014. "The Role of Visual Analysis in the Regulation of Electronic Order Book Markets," Staff Discussion Papers 14-02, Office of Financial Research, US Department of the Treasury.
  10. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
  11. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.

Articles

  1. Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
  2. Richard Bookstaber & Mark Paddrik & Brian Tivnan, 2018. "An agent-based model for financial vulnerability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 433-466, July.
  3. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017. "Effects of limit order book information level on market stability metrics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.

    Cited by:

    1. Dermot Turing & Manmohan Singh, 2018. "The Morning After--The Impact on Collateral Supply After a Major Default," IMF Working Papers 18/228, International Monetary Fund.
    2. Wang, Hu & Li, Shouwei, 2020. "Risk contagion in multilayer network of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    3. Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model of Central Counterparty Risk," Papers 1803.02012, arXiv.org.
    4. Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model Of Central Counterparty Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-34, December.
    5. Radoslav Raykov, 2019. "Systemic Risk and Collateral Adequacy," Staff Working Papers 19-23, Bank of Canada.

  2. H Peyton Young & Mark Paddrik, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.

    Cited by:

    1. H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
    2. Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
    3. Office of Financial Research (ed.), . "New Public Disclosures Shed Light on Central Counterparties," Viewpoint Papers, Office of Financial Research, US Department of the Treasury, number 17-02, June.
    4. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.),Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    5. Alan Morrison & Michalis Vasios & Mungo Wilson & Filip Zikes, 2017. "Identifying Contagion in a Banking Network," Finance and Economics Discussion Series 2017-082, Board of Governors of the Federal Reserve System (U.S.).
    6. Ferrara, Gerardo & Li, Xin, 2017. "Central counterparty auction design," Bank of England working papers 669, Bank of England.

  3. H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in Derivatives Markets," Economics Series Working Papers 839, University of Oxford, Department of Economics.

    Cited by:

    1. H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.

  4. Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Mark Paddrik & H. Peyton Young, 2016. "Contagion in the CDS Market," Working Papers 16-12, Office of Financial Research, US Department of the Treasury.
    2. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.),Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    3. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019. "Simulating liquidity stress in the derivatives market," Bank of England working papers 838, Bank of England.
    4. Office of Financial Research (ed.), 2017. "2017 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 17-2, June.

  5. Mark Paddrik & Jessie Jiaxu Wang, 2016. "Bank Networks and Systemic Risk: Evidence from the National Banking Acts," Working Papers 16-13, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Matthew Jaremski & David C. Wheelock, 2019. "The Founding of the Federal Reserve, the Great Depression and the Evolution of the U.S. Interbank Network," Working Papers 2019-2, Federal Reserve Bank of St. Louis, revised 17 Jan 2019.
    2. Haelim Anderson & Charles W. Calomiris & Matthew Jaremski & Gary Richardson, 2018. "Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve System," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 173-201, February.
    3. Jieshuang He, 2016. "Endogenous Bank Networks and Contagion," CAEPR Working Papers 2016-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    4. Daniel Ladley & Peter L. Rousseau, 2018. "Panic and propagation in 1873: a computational network approach," Vanderbilt University Department of Economics Working Papers 18-00004, Vanderbilt University Department of Economics.
    5. Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2018. "Systemic Risk and the Great Depression," CESifo Working Paper Series 7425, CESifo.
    6. Guillermo Ordonez & Selman Erol, 2017. "Network Reactions to Banking Regulations," 2017 Meeting Papers 1125, Society for Economic Dynamics.
    7. John Bluedorn & Haelim Park, 2016. "Stopping Contagion with Bailouts: Microevidence from Pennsylvania Bank Networks During the Panic of 1884," Working Papers 16-03, Office of Financial Research, US Department of the Treasury.
    8. Peter Rousseau & Dan Ladley, 2017. "Panic and Propagation in 1873," 2017 Meeting Papers 1199, Society for Economic Dynamics.
    9. Das, Sanjiv & Mitchener, Kris James & Vossmeyer, Angela, 2018. "Systemic Risk and the Great Depression," CEPR Discussion Papers 13416, C.E.P.R. Discussion Papers.

  6. Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016. "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers 16-14, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
    2. Office of Financial Research (ed.), 2017. "2017 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 17-2, June.

  7. Mark E. Paddrik & Richard Haynes & Andrew E. Todd & Peter A. Beling & William T. Scherer, 2014. "The Role of Visual Analysis in the Regulation of Electronic Order Book Markets," Staff Discussion Papers 14-02, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.

  8. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Mahmoud Mahfouz & Angelos Filos & Cyrine Chtourou & Joshua Lockhart & Samuel Assefa & Manuela Veloso & Danilo Mandic & Tucker Balch, 2019. "On the Importance of Opponent Modeling in Auction Markets," Papers 1911.12816, arXiv.org.
    2. Matteo Richiardi, 2015. "The future of agent-based modelling," Economics Papers 2015-W06, Economics Group, Nuffield College, University of Oxford.
    3. Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
    4. James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
    5. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.

  9. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.

    Cited by:

    1. Baranova, Yuliya & Douglas, Graeme & Silvestri, Laura, 2019. "Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales," Bank of England working papers 803, Bank of England.
    2. Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
    3. T. R. Hurd, 2018. "Bank Panics And Fire Sales, Insolvency And Illiquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-30, September.
    4. Toshiyuki Sakiyama & Tetsuya Yamada, 2016. "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series 16-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    5. Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2019. "Winter is possibly not coming : mitigating financial instability in an agent-based model with interbank market," Sciences Po publications 14, Sciences Po.
    6. Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017. "Models of Financial Stability and their Application in Stress Tests," Working Papers on Finance 1805, University of St. Gallen, School of Finance.
    7. Liu, Anqi & Paddrik, Mark & Yang, Steve Y. & Zhang, Xingjia, 2020. "Interbank contagion: An agent-based model approach to endogenously formed networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
    8. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, Open Access Journal, vol. 7(2), pages 1-19, April.
    9. T. R. Hurd, 2017. "Bank Panics and Fire Sales, Insolvency and Illiquidity," Papers 1711.05289, arXiv.org.
    10. Dror Kenett & Shlomo Havlin, 2015. "Network science: a useful tool in economics and finance," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 14(2), pages 155-167, November.
    11. Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016. "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers 16-14, Office of Financial Research, US Department of the Treasury.
    12. Matteo Serri & Guido Caldarelli & Giulio Cimini, 2016. "How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation," Papers 1611.04311, arXiv.org.
    13. João Silvestre, 2017. "Sovereign default contagion: an agent-based model approach," Working Papers Department of Economics 2017/08, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    14. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.
    15. Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
    16. Binghui Wu & Tingting Duan, 2019. "Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network," Complexity, Hindawi, vol. 2019, pages 1-12, June.

Articles

  1. Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
    See citations under working paper version above.
  2. Richard Bookstaber & Mark Paddrik & Brian Tivnan, 2018. "An agent-based model for financial vulnerability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 433-466, July.
    See citations under working paper version above.
  3. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017. "Effects of limit order book information level on market stability metrics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2015-05-30 2017-12-11 2018-05-14 2018-09-17. Author is listed
  2. NEP-CMP: Computational Economics (3) 2015-05-30 2015-05-30 2018-05-14. Author is listed
  3. NEP-MST: Market Microstructure (3) 2015-05-30 2015-05-30 2019-03-25. Author is listed
  4. NEP-BAN: Banking (2) 2018-05-14 2019-03-25
  5. NEP-FMK: Financial Markets (2) 2017-01-29 2019-03-25
  6. NEP-URE: Urban & Real Estate Economics (2) 2017-01-29 2018-05-14
  7. NEP-HIS: Business, Economic & Financial History (1) 2018-05-14
  8. NEP-HME: Heterodox Microeconomics (1) 2018-05-14
  9. NEP-MON: Monetary Economics (1) 2018-05-14
  10. NEP-NET: Network Economics (1) 2017-01-29

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