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Details about Gerardo Ferrara

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Homepage:http://www.gerardoferrara.com/
Workplace:Bank of England, (more information at EDIRC)

Access statistics for papers by Gerardo Ferrara.

Last updated 2022-04-28. Update your information in the RePEc Author Service.

Short-id: pfe449


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Working Papers

2022

  1. Margin procyclicality and the collateral cycle
    Bank of England working papers, Bank of England Downloads

2021

  1. Modelling fire sale contagion across banks and non-banks
    Bank of England working papers, Bank of England Downloads View citations (3)
  2. Non-Standard Errors
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Bank of England working papers, Bank of England (2021) Downloads
    Post-Print, HAL (2021) Downloads
    Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) Downloads View citations (1)
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) Downloads

2019

  1. Multiplex network analysis of the UK OTC derivatives market
    Bank of England working papers, Bank of England Downloads View citations (7)
  2. Simulating liquidity stress in the derivatives market
    Bank of England working papers, Bank of England Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2021)

2018

  1. Systemic illiquidity in the interbank network
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (2)
    Also in Bank of England working papers, Bank of England (2017) Downloads View citations (9)

    See also Journal Article in Quantitative Finance (2019)
  2. The impact of the leverage ratio on client clearing
    Bank of England working papers, Bank of England Downloads View citations (11)

2017

  1. Central counterparty auction design
    Bank of England working papers, Bank of England Downloads View citations (5)
  2. The impact of de-tiering in the United Kingdom’s large-value payment system
    Bank of England working papers, Bank of England Downloads View citations (2)

Journal Articles

2021

  1. Counterparty choice in the UK credit default swap market: An empirical matching approach
    Economic Modelling, 2021, 94, (C), 58-74 Downloads
  2. Simulating liquidity stress in the derivatives market
    Journal of Economic Dynamics and Control, 2021, 133, (C) Downloads View citations (2)
    See also Working Paper (2019)

2019

  1. Multiplex network analysis of the UK over‐the‐counter derivatives market
    International Journal of Finance & Economics, 2019, 24, (4), 1520-1544 Downloads View citations (5)
  2. Systemic illiquidity in the interbank network
    Quantitative Finance, 2019, 19, (11), 1779-1795 Downloads View citations (7)
    See also Working Paper (2018)

2016

  1. The small bank failures of the early 1990s: another story of boom and bust
    Bank of England Quarterly Bulletin, 2016, 56, (1), 41-51 Downloads View citations (3)
 
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