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Optimal margin requirement
13 references·0 citing·53 second hop
Optimal margin requirement (2018)Optimal margin requirementDecentralized Clearing in Financial Networks (2017)Decentralized Clearing in Fin…Quantifying Systemic Risk (2013)Quantifying Systemic RiskEndogenous and Systemic Risk (2013)Endogenous and Systemic RiskThe Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market (2012)The Impact of Central Clearin…Optimal clearing arrangements for financial trades (2011)Optimal clearing arrangements…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Optimal clearing margin, capital and price limits for futures clearinghouses (2005)Optimal clearing margin, capi…An Academic Response to Basel II (2001)An Academic Response to Basel…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Prudential margin policy in a futures‐style settlement system (1993)Prudential margin policy in a…A theory of price limits in futures markets (1986)A theory of price limits in f…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Clearing and Settlement During the Crash (1990)Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash? (1998)Can the Financial Markets Privately Regulate Risk?: The Development of Derivatives Clearinghouses and Recent over-the-Counter Innovations (1999)An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Optimal margin level in futures markets: Extreme price movements (1999)Competition among Exchanges (2001)Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)The pricing of commodity contracts (1976)Evaluating Natural Resource Investments (1985)Price volatility, international market links, and their implications for regulatory policies (1989)Leverage and Market Stability: The Role of Margin Rules and Price Limits (1998)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Over-the-Counter Markets (2004)A Unified Framework for Monetary Theory and Policy Analysis (2005)Valuation in Over-the-Counter Markets (2007)Central Clearing and Collateral Demand (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)The Design of a Central Counterparty (2023)Systemic Risk in Financial Systems (2001)Financial Networks and Contagion (2012)Systemic Risk and Stability in Financial Networks (2015)Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks (2019)Sharing the Revenues from Broadcasting Sport Events (2019)Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions (2022)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Illiquidity and stock returns: cross-section and time-series effects (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Empirical Analysis of Liquidity (2014)Is Post-Crisis Bond Liquidity Lower? (2017)The microstructure of the bond market in the 20th century (2019)The fundamental principles of financial regulation (2009)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,052 cited
  • 2008Market Liquidity and Funding Liquidity5,024 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2001An Academic Response to Basel II274 cited
  • 1986A theory of price limits in futures markets211 cited
  • 2012The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market191 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 2017Decentralized Clearing in Financial Networks93 cited
  • 2011Optimal clearing arrangements for financial trades70 cited
  • 1993Prudential margin policy in a futures‐style settlement system70 cited
  • 2013Endogenous and Systemic Risk65 cited
  • 2013Quantifying Systemic Risk38 cited
  • 2005Optimal clearing margin, capital and price limits for futures clearinghouses17 cited

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