Systemic Risk with Central Counterparty Clearing
33 mins 41 secs,
128.88 MB,
iPod Video
480x270,
29.97 fps,
44100 Hz,
522.39 kbits/sec
Share this media item:
Embed this media item:
Embed this media item:
About this item
| Description: |
Amini, H (EPFL - Ecole Polytechnique Fédérale de Lausanne)
Friday 29 August 2014, 09:45-10:15 |
|---|
| Created: | 2014-08-29 16:15 |
|---|---|
| Collection: | Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches |
| Publisher: | Isaac Newton Institute |
| Copyright: | Amini, H |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
|
| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | This paper studies financial networks in a stochastic framework. We measure systemic risk in terms of a risk adjusted valuation principle. The framework allows us to examine the effects on systemic risk and price contagion of multilateral clearing via a central clearing counterparty (CCP). We prove existence and uniqueness of an interbank payment equilibrium in conjunction with the price impact on external assets. We find that a CCP not always reduces systemic risk and provide sufficient conditions for the latter to hold. We derive the capitalization of a CCP based on game theoretic arguments. This is based on joint work with Damir Filipovic and Andreea Minca. |
|---|---|
Available Formats
| Format | Quality | Bitrate | Size | |||
|---|---|---|---|---|---|---|
| MPEG-4 Video | 640x360 | 1.94 Mbits/sec | 490.11 MB | View | Download | |
| WebM | 640x360 | 605.09 kbits/sec | 149.35 MB | View | Download | |
| iPod Video * | 480x270 | 522.39 kbits/sec | 128.88 MB | View | Download | |
| MP3 | 44100 Hz | 249.8 kbits/sec | 61.69 MB | Listen | Download | |
| Auto | (Allows browser to choose a format it supports) | |||||