Central clearing of OTC derivatives: Bilateral vs multilateral netting

DOI10.1515/strm-2013-1161zbMath1287.91137arXiv1304.5065OpenAlexW3124561861MaRDI QIDQ5402788

Rama Cont, Thomas Kokholm

Publication date: 17 March 2014

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.5065

zbMATH Keywords

CCPcollateralregulationnetworksrisk managementsystemic riskOTC marketsnettingcentral counterpartyOTC derivativescentral clearing

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (17)

Compressing Over-the-Counter Markets ⋮ How safe are central counterparties in credit default swap markets? ⋮ Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Preface to the Special Issue on Systemic Risk: Models and Mechanisms ⋮ To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting ⋮ Hidden Illiquidity with Multiple Central Counterparties ⋮ Optimising the multilateral netting of fungible OTC derivatives ⋮ Systemic risk and optimal fee for central clearing counterparty under partial netting ⋮ When does portfolio compression reduce systemic risk? ⋮ Counter-cyclical margins for option portfolios ⋮ Optimal network compression ⋮ COUNTERPARTY CREDIT RISK IN A CLEARING NETWORK ⋮ Credit default swaps and systemic risk ⋮ The Topology of Central Counterparty Clearing Networks and Network Stability ⋮ Interbank Clearing in Financial Networks with Multiple Maturities ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing ⋮ Central Clearing Valuation Adjustment

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