Catastrophe insurance differs from regular insurance in that individual claims are correlated and insurers have to pay more clients at once, which creates a liquidity str[...]

Large banks’ tendency to suffer simultaneous trading losses, which strengthen systemic risk, is often attributed to portfolio overlap. By contrast, I show that common mac[...]

Is affiliation with a multibank holding company beneficial for bank stability? We revisit this question by examining the response of market-based risk measures of indepen[...]

A major policy challenge posed by derivatives clearinghouses is that their collateral requirements can rise sharply in times of stress, reducing market liquidity and furt[...]

Many jurisdictions identify margin procyclicality at central counterparties (CCPs) as a potential threat to financial stability. This paper studies the effect of less pro[...]

Risk mutualization is essential for a central counterparty's (CCP's) ability to survive defaults. This paper investigates how financial market participants respond to ris[...]

Conventional collateral requirements for derivatives are conservative, but not explicitly designed to buffer systemic risk. I explore collateral adequacy against systemic[...]

Classical oligopoly models predict that firms differentiate vertically as a way of softening price competition, but some metrics suggest very little quality differentiati[...]