Contagion in derivatives markets
A major credit shock can induce large intra-day variation margin payments between counterparties in derivatives markets, which may force some participants to default on their payments. These payment shortfalls become amplified as they cascade through the network of exposures. Using detailed DTCC dat...
| Príomhchruthaitheoirí: | , , |
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| Formáid: | Working paper |
| Foilsithe / Cruthaithe: |
University of Oxford
2019
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