Zobrazeno 1 - 10
of 125
pro vyhledávání: '"H. Peyton Young"'
Publikováno v:
SSRN Electronic Journal.
This paper studies the spread of losses and defaults in financial networks with two interrelated features: collateral requirements and alternative contract termination rules. When collateral is committed to a firm’s counterparties, a solvent firm m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bafb73442daa83c03398958c586a5ca
http://eprints.lse.ac.uk/107496/
http://eprints.lse.ac.uk/107496/
Autor:
Mark E. Paddrik, H. Peyton Young
Publikováno v:
SSRN Electronic Journal.
We propose a general framework for empirically assessing a central counterparty's capacity to cope with severe financial stress. Using public disclosure data for global central counterparties (CCPs), we show how to estimate the probability that a CCP
Autor:
Mark E. Paddrik, H. Peyton Young
We propose a general framework for estimating the vulnerability to default by a central counterparty (CCP) in the credit default swaps market. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand nonpayment
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c6a45c5dbe72685008ad69da64c3eed2
https://ora.ox.ac.uk/objects/uuid:b8979b78-e3e6-46b2-8383-6471f80ccbf4
https://ora.ox.ac.uk/objects/uuid:b8979b78-e3e6-46b2-8383-6471f80ccbf4
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5a9336777437f8fe92256197e0bdfff3
http://eprints.lse.ac.uk/100868/
http://eprints.lse.ac.uk/100868/
New ways of doing things often get started through the actions of a few innovators, then diffuse rapidly as more and more people come into contact with prior adopters in their social network. Much of the literature focuses on the speed of diffusion a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bc7e7bba25feb54c97905f780ccf47d
http://eprints.lse.ac.uk/102538/
http://eprints.lse.ac.uk/102538/
Autor:
H. Peyton Young, Paul Glasserman
Publikováno v:
Journal of Economic Literature. 54:779-831
The recent financial crisis has prompted much new research on the interconnectedness of the modern financial system and the extent to which it contributes to systemic fragility. Network connections diversify firms' risk exposures, but they also creat
Autor:
H. Peyton Young, Itai Arieli
Publikováno v:
Econometrica. 84:627-676
We study how long it takes for large populations of interacting agents to come close to Nash equilibrium when they adapt their behavior using a stochastic better reply dynamic. Prior work considers this question mainly for 2 × 2 games and potential
Publikováno v:
SSRN Electronic Journal.
New ways of doing things often get started through the actions of a few innovators, then diffuse rapidly as more and more people come into contact with prior adopters in their social network. Much of the literature focuses on the speed of diffusion a