Abstract Details
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Activity Number:
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502
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Type:
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Contributed
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Date/Time:
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Wednesday, August 6, 2014 : 10:30 AM to 12:20 PM
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Sponsor:
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International Chinese Statistical Association
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Abstract #312740
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Title:
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WITHDRAWN: Network Effects and CCP Stability
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Author(s):
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Xiao Feng and Mattrew Pritsker and Woo Seong Jo and Beomjun Kim
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Companies:
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and Federal Reserve Bank of Boston and SKK University and SKK University
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Keywords:
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systemicrisk ;
cascading failures ;
network effects ;
CCPinteroperability.
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Abstract:
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This paper theoretically studies a network with CCPs that are linked through interoperability arrangements, and studies the properties of the network that contribute to cascading failures. The theoretical model is then tested using complex system approach with call report large data. The major findings are:the magnitude of the cascading is statisically related to the strength of network linkages , the size of the network,thelogistic mapping coefficient,a stochastic effect, and CCP's defense lines. The empirical study indicate that largernetwork effects increase systemic risk from cascading failures.The size of the network N raises the threshold value of shock sizes that are required to generate cascades. Hence, the larger the network,the more robust it will be.
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Authors who are presenting talks have a * after their name.
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