Heterogeneity and netting efficiency under central clearing: A stochastic network analysis
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, Injun | - |
dc.contributor.author | Kim, Baeho | - |
dc.date.accessioned | 2021-08-31T11:42:47Z | - |
dc.date.available | 2021-08-31T11:42:47Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2020-02 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/57921 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | SYSTEMIC RISK | - |
dc.title | Heterogeneity and netting efficiency under central clearing: A stochastic network analysis | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Baeho | - |
dc.identifier.doi | 10.1002/fut.22059 | - |
dc.identifier.scopusid | 2-s2.0-85073973882 | - |
dc.identifier.wosid | 000487486300001 | - |
dc.identifier.bibliographicCitation | JOURNAL OF FUTURES MARKETS, v.40, no.2, pp.192 - 208 | - |
dc.relation.isPartOf | JOURNAL OF FUTURES MARKETS | - |
dc.citation.title | JOURNAL OF FUTURES MARKETS | - |
dc.citation.volume | 40 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 192 | - |
dc.citation.endPage | 208 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | SYSTEMIC RISK | - |
dc.subject.keywordAuthor | central clearing | - |
dc.subject.keywordAuthor | exposure distribution | - |
dc.subject.keywordAuthor | heterogeneity | - |
dc.subject.keywordAuthor | netting efficiency | - |
dc.subject.keywordAuthor | simulation | - |
dc.subject.keywordAuthor | stochastic network model | - |
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