Systemic Risk with Central Counterparty Clearing
33 mins 41 secs,
490.11 MB,
MPEG-4 Video
640x360,
29.97 fps,
44100 Hz,
1.94 Mbits/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) |