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Optimal Central Counterparty Risk Management
8 references·0 citing·32 second hop
Optimal Central Counterparty Risk Management (2009)Optimal Central Counterparty Risk Managem…Comparing the Pre-Settlement Risk Implications of Alternative Clearing Arrangements (2007)Comparing the Pre-Settlement …Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash (1998)Valuing the Futures Market Cl…Payment System Settlement and Bank Incentives (1998)Payment System Settlement and…Regulatory competition and the efficiency of alternative derivative product margining systems (1996)Regulatory competition and th…Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures (1995)Margin Requirements, Price Fl…The performance of S&P 500 futures product margins under the SPAN margining system (1994)The performance of S&P 500 fu…Margins and the safety of clearing houses (1994)Margins and the safety of cle…The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance (1986)The Effects of Changing Margi…I.—The Mathematical Theory of Banking (1888)Derivatives and Systemic Risk: Netting, Collateral, and Closeout (2005)Using Market Information for Banking System Risk Assessment (2005)Clearing networks (2012)The pricing of commodity contracts (1976)Margins and market integrity: Margin setting for stock index futures and options (1984)Expected stock returns and volatility (1987)Risk and Return in Commodity Futures (1980)Modelling financial time series (1987)Margin requirements and futures activity: Evidence from the soybean and corn markets (1999)Modelling Financial Time Series (2007)Derivatives Clearing, Default Risk, and Insurance (2012)The information content of option prices and a test of market efficiency (1978)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)CoMargin (2017)The Economics of Information (1976)On the Estimation of Security Price Volatilities from Historical Data (1980)Initial margin requirements and stock returns volatility: Another look (1989)Animal Spirits, Margin Requirements, and Stock Price Volatility (1991)Market volatility and the demand for hedging in stock index futures (2000)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Brownian Motion and Stochastic Flow Systems. (1987)Interbank Lending and Systemic Risk (1996)What Makes Banks Special? A Study of Banking, Finance, and Economic Development (2000)Settlement Risk under Gross and Net Settlement (2003)Optimal clearing arrangements for financial trades (2011)Circuit Breakers and Program Trading Limits: What Have We Learned? (1997)Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Econometric modelling of non‐ferrous metal prices (2004)Estimation of a Stochastic-Volatility Jump-Diffusion Model (2000)A theoretical framework to evaluate different margin‐setting methodologies (2003)The Crisis of 1873: Perspectives from Multiple Asset Classes (2008)
this work references cited by second hop

References

  • 1986The Effects of Changing Margin Levels on Futures Market Activity, the Composition of Traders in the Market, and Price Performance92 cited
  • 1998Payment System Settlement and Bank Incentives83 cited
  • 1995Margin Requirements, Price Fluctuations, and Market Participation in Metal Futures65 cited
  • 1994Margins and the safety of clearing houses32 cited
  • 1996Regulatory competition and the efficiency of alternative derivative product margining systems28 cited
  • 2007Comparing the Pre-Settlement Risk Implications of Alternative Clearing Arrangements28 cited
  • 1994The performance of S&P 500 futures product margins under the SPAN margining system27 cited
  • 1998Valuing the Futures Market Clearinghouse's Default Exposure During the 1987 Crash26 cited

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