Optimising the multilateral netting of fungible OTC derivatives

DOI10.1080/14697688.2016.1276297zbMath1402.91807OpenAlexW2592505216MaRDI QIDQ4555157

Dominic O'Kane

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1276297

zbMATH Keywords

optimizationgraph theorycredit riskcounterparty riskOTC derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Compressing Over-the-Counter Markets ⋮ When does portfolio compression reduce systemic risk? ⋮ Multi-period liability clearing via convex optimal control ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

Cites Work

• Finding All the Elementary Circuits of a Directed Graph
• Central clearing of OTC derivatives: Bilateral vs multilateral netting
• Depth-First Search and Linear Graph Algorithms

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