Contagion in derivatives markets

Sriram Rajan
Sriram Rajan

MANAGEMENT SCIENCE, pp. 3603-3616, 2020.

Cited by: 0|Bibtex|Views2|DOI:https://doi.org/10.1287/mnsc.2019.3354
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Other Links: academic.microsoft.com|dblp.uni-trier.de

Abstract:

A major credit shock can induce large intraday 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 Depository Trust & Clearing Corporation data, we ...More

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