원문정보
초록
영어
This paper examines the effect of heterogeneity in clearing members’ exposure management practices on system-wide expected exposure under central clearing. Our network model specifies the dynamics of pre-netted interbank exposure as a joint stochastic process that shapes interdependent bank-to-bank exposure distributions beyond normality. Employing over-the-counter derivatives market data provided by the U.S. Office of the Comptroller of the Currency, our simulation results indicate that heterogeneity in bank-to-bank exposure dynamics and size is systemically desirable in general, while the entire system benefits more from central clearing in a more homogeneous environment. Furthermore, policymakers should incentivize individual clearing members to enhance resiliency and stability in counterparty exposure management to maximize netting efficiency under central clearing.
목차
1 Introduction
2 Model Framework
2.1 Pre- and Post-netted Exposures
2.2 Stochastic Exposure Model Specification
2.3 Netting Efficiency under Central Clearing
3 Methodology
3.1 Simulation Setup
3.2 Data and Sample
4 Main Analysis
4.1 Baseline Case
4.2 Heterogeneity in Exposure Dynamics
4.3 Heterogeneity in Exposure Size
4.4 Term-structure Analysis of Tail Risk Measures
4.5 Allocating Operational Costs of Central Clearing
5 Conclusion
References