Heterogeneity and netting efficiency under central clearing: A stochastic network analysis

Hwang Injun; Kim Baeho

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Heterogeneity and netting efficiency under central clearing: A stochastic network analysis

机译：中央结算下的异质性和净额结算效率：随机网络分析

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This paper examines the effect of heterogeneity in clearing members' exposure management practices under central clearing. Our network model specifies the dynamics of prenetted interbank exposures to shape interdependent exposure distributions beyond normality. Employing over-the-counter derivatives market data from the U.S. Office of the Comptroller of the Currency, our simulation results indicate that heterogeneity in bank-to-bank exposure dynamics is systemically desirable, while the entire system benefits more from the central clearing in more homogeneous environments. Policymakers should incentivize individual clearing members to enhance resiliency and stability in counterparty exposure management to maximize netting efficiency under central clearing.

机译：本文研究了中央清算下异质性在清算会员风险管理实践中的作用。我们的网络模型指定了预先入网的银行同业风险敞口的动态，以塑造相互依存的风险敞口分布，超出正态分布。利用来自美国货币审计署的场外衍生品市场数据，我们的模拟结果表明，银行对银行敞口动态的异质性是系统性的，而整个系统则更多地受益于中央清算。同类环境。决策者应激励个人清算成员，以增强交易对手敞口管理的弹性和稳定性，以在中央清算中最大程度地提高净清算效率。

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来源
《Journal of futures markets》 |2020年第2期|192-208|共17页
作者
Hwang Injun; Kim Baeho;
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作者单位

Korea Univ Business Sch Seoul 02841 South Korea;

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原文格式 PDF
正文语种 eng
中图分类
关键词
central clearing; exposure distribution; heterogeneity; netting efficiency; simulation; stochastic network model;

机译：中央结算暴露分布;异质性净效率;模拟;随机网络模型;

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Heterogeneity and netting efficiency under central clearing: A stochastic network analysis

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