Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties
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References listed on IDEAS
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
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- Yang, Chunpeng & Zhou, Liyun, 2016. "Individual stock crowded trades, individual stock investor sentiment and excess returns," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 39-53.
- Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
- Liyun Zhou & Chunpeng Yang, 2019. "Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 859-890, December.
- Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2016. "Hidden Illiquidity with Multiple Central Counterparties," Operations Research, INFORMS, vol. 64(5), pages 1143-1158, October.
- Bruno, Salvatore & Chincarini, Ludwig B. & Ohara, Frank, 2018. "Portfolio construction and crowding," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 190-206.
- Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.
More about this item
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2014-07-13 (Risk Management)
- NEP-RMG-2014-11-22 (Risk Management)
- NEP-RMG-2015-04-25 (Risk Management)
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