Blar i Norges Banks vitenarkiv på forfatter "Cont, Rama"

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    • Central Clearing and Risk Transformation 

      Cont, Rama (Working Papers;3/2017, Working paper, 2017)
      The clearing of over-the-counter transactions through central counterparties (CCPs), one of the pillars of financial reform following the crisis of 2007-2008, has promoted CCPs as key elements of the new global financial ...

    • Fire Sales, Indirect Contagion and Systemic Stress Testing 

      Cont, Rama; Schaanning, Eric (Working Papers;2/2017, Working paper, 2017)
      We present a framework for quantifying the impact of fi re sales in a network of financial institutions with common asset holdings, subject to leverage or capital constraints. Asset losses triggered by macro-shocks may ...

    • Liquidity at risk: Joint stress testing of solvency and liquidity 

      Cont, Rama; Kotlicki, Artur; Valderrama, Laura (Working Paper;11/2019, Working paper, 2019)
      The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests are often applied in parallel to solvency stress tests, based on scenarios which may ...

    • The End of the Waterfall: Default Resources of Central Counterparties 

      Cont, Rama (Working Papers;16/2015, Working paper, 2015)
      Central counterparties (CCPs) have become pillars of the new global financial architecture following the financial crisis of 2008. The key role of CCPs in mitigating counterparty risk and contagion has in turn cast them ...