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Finance Research Letters
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Interest rate swaps clearing and systemic risk

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2018 English Publisher:Elsevier BVJournal:Finance Research Letters, volume 33, page 101,218 (issn: 1544-6123, Copyright policy )
Authors: Mohamed Bakoush; Enrico H. Gerding; Simon Wolfe;

doi: 10.1016/j.frl.2019.06.016 , 10.2139/ssrn.3516048

Interest rate swaps clearing and systemic risk

Abstract

Abstract We develop a model to analyze distress spillover from the OTC interest rate swaps (IRS) market into the interbank market due to central clearing and margin requirements. We show that margin procyclicality in the OTC IRS market derived by interest rate volatility can lead to the onset of systemic liquidity shortage in the interbank market. We also show that central clearing may increase systemic liquidity risk due to tight margin requirements.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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bronze
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