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Credit default swaps and systemic risk

Citations

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Cited by:

  1. Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
  2. Mercadier, Mathieu & Lardy, Jean-Pierre, 2019. "Credit spread approximation and improvement using random forest regression," European Journal of Operational Research, Elsevier, vol. 277(1), pages 351-365.
  3. Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
  4. Giansante, Simone & Manfredi, Sabato & Markose, Sheri, 2023. "Fair immunization and network topology of complex financial ecosystems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
  5. Silvia Crafa, 2021. "From agent-based modeling to actor-based reactive systems in the analysis of financial networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(3), pages 649-673, July.
  6. Torri, Gabriele & Giacometti, Rosella & Paterlini, Sandra, 2018. "Robust and sparse banking network estimation," European Journal of Operational Research, Elsevier, vol. 270(1), pages 51-65.
  7. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Other publications TiSEM 1f3bd844-92ab-4104-8f57-9, Tilburg University, School of Economics and Management.
  8. Fanelli, Viviana & Maddalena, Lucia, 2020. "A nonlinear dynamic model for credit risk contagion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 174(C), pages 45-58.
  9. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  10. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2018. "Systemic risk assessment through high order clustering coefficient," Papers 1810.13250, arXiv.org, revised Jul 2020.
  11. Mark Paddrik & Sriram Rajan & H. Peyton Young, 2016. "Contagion in the CDS Market," Working Papers 16-12, Office of Financial Research, US Department of the Treasury.
  12. H Peyton Young & Mark Paddrik, 2019. "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers 885, University of Oxford, Department of Economics.
  13. Giacomo Morelli, 2021. "Fair prices under a unified lattice approach for interest rate derivatives," Annals of Operations Research, Springer, vol. 299(1), pages 429-441, April.
  14. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
  15. 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.
  16. Shanuka Senarath & Pelma Rajapakse & Jan Job de Vries Robbé & Naveen Wickremeratne & Maduka Subasinghage, 2022. "Being Naked - et Quo hinc ?: Developing a ‘Skin-in-the-Game’ Solution for Credit Default Swaps," IJFS, MDPI, vol. 10(4), pages 1-14, October.
  17. Paddrick, Mark & Rajan, Sriram & Young, H. Peyton, 2020. "Contagion in derivatives markets," LSE Research Online Documents on Economics 100868, London School of Economics and Political Science, LSE Library.
  18. Mark Paddrik & Sriram Rajan & H. Peyton Young, 2020. "Contagion in Derivatives Markets," Management Science, INFORMS, vol. 66(8), pages 3603-3616, August.
  19. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
  20. Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
  21. Wang, Hu & Li, Shouwei, 2020. "Risk contagion in multilayer network of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  22. Andrea Flori & Simone Giansante & Claudia Girardone & Fabio Pammolli, 2021. "Banks’ business strategies on the edge of distress," Annals of Operations Research, Springer, vol. 299(1), pages 481-530, April.
  23. Ferrara, Gerardo & Kim, Jun Sung & Koo, Bonsoo & Liu, Zijun, 2021. "Counterparty choice in the UK credit default swap market: An empirical matching approach," Economic Modelling, Elsevier, vol. 94(C), pages 58-74.
  24. Miao Tang & Hong Fan, 2025. "Dynamic Multilayer Network for Systemic Risk and Bank Regulation Based on CDS," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 691-715, February.
  25. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2021. "Systemic risk assessment through high order clustering coefficient," Annals of Operations Research, Springer, vol. 299(1), pages 1165-1187, April.
  26. Uribe, Jorge M. & Chuliá, Helena & Guillén, Montserrat, 2017. "Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 52-68.
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