University of Cambridge > > Isaac Newton Institute Seminar Series > Systemic Risk with Central Counterparty Clearing

Systemic Risk with Central Counterparty Clearing

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

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.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.


© 2006-2021, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity