Filip Zikes

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

6

DOWNLOADS

446

CITATIONS

0

Scholarly Papers (6)

1.
Downloads 205 (145,852)
Citation 2

Identifying Contagion in a Banking Network

Bank of England Working Paper No. 642
Number of pages: 33 Posted: 24 Jan 2017
University of Oxford - Said Business School, Bank of England, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 89 (283,414)

Abstract:

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contagion, counterparty risk, credit default swaps, networks

Identifying Contagion in a Banking Network

FEDS Working Paper No. 2017-082
Number of pages: 37 Posted: 07 Sep 2017
University of Oxford - Said Business School, Bank of England, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 67 (335,574)

Abstract:

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Contagion, Counterparty risk, Credit default swaps, Networks

Identifying Contagion in a Banking Network

Saïd Business School WP 2016-37
Number of pages: 37 Posted: 16 Jun 2017
University of Oxford - Said Business School, Bank of England, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Downloads 49 (391,609)
Citation 2

Abstract:

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Contagion, Counterparty Risk, Credit Default Swaps, Networks

2.

Systemic Risk in Derivatives Markets: A Pilot Study Using CDS Data

Bank of England Financial Stability Paper No. 38
Number of pages: 22 Posted: 15 Jul 2016
Robleh Ali, Nicholas Vause and Filip Zikes
Bank of England, Bank of England and Board of Governors of the Federal Reserve System
Downloads 106 (250,569)
Citation 6

Abstract:

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systemic risk, derivatives, CDS data

3.

Funding Constraints and Liquidity in Two-Tiered OTC Markets

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 13 Dec 2017 Last Revised: 14 Dec 2017
Evangelos Benos and Filip Zikes
Bank of England and Board of Governors of the Federal Reserve System
Downloads 45 (398,879)
Citation 2

Abstract:

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gilt market, liquidity, inter-dealer trading

4.

Liquidity Determinants in the UK Gilt Market

Bank of England Working Paper No. 600
Number of pages: 47 Posted: 07 May 2016
Evangelos Benos and Filip Zikes
Bank of England and Board of Governors of the Federal Reserve System
Downloads 44 (402,419)
Citation 5

Abstract:

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Gilt market, market liquidity, funding liquidity, inter-dealer trading, competition

5.

Measuring Transaction Costs in the Absence of Timestamps

FEDS Working Paper No. 2017-045
Number of pages: 48 Posted: 18 Apr 2017
Filip Zikes
Board of Governors of the Federal Reserve System
Downloads 27 (474,012)

Abstract:

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Effective spread, Simulated method of moments, Time-varying estimation, Transaction costs

6.

Banks as Regulated Traders

FEDS Working Paper No. 2019-005
Number of pages: 46 Posted: 11 Feb 2019 Last Revised: 21 Feb 2019
Antonio Falato, Diana Iercosan and Filip Zikes
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 19 (518,387)

Abstract:

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Bank trading, Regulation, Risk exposures, Systemic risk