CCPs and network stability in OTC derivatives markets
CCPs and network stability in OTC derivatives markets
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DOI：
10.1016/j.jfs.2015.12.004
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发表时间：
2016-12-01
影响因子：
5.4
通讯作者：
Shaghaghi, Ali Rais
中科院分区：
文献类型：
--
作者：
Heath, Alexandra;Kelly, Gerard;Shaghaghi, Ali Rais
自全球金融危机以来，场外衍生品市场的改革之一是承诺将交易对手风险敞口抵押，并通过中央交易对手(CCP)清算标准化合约。这些改革旨在降低这些重要市场的相互关联性，改善交易对手风险管理。然而，与此同时，改革必然会将风险集中在金融网络中的一个或几个节点，并增加机构对优质资产的需求，以满足抵押品要求。本文更仔细地研究了CCP清算增加对金融网络的拓扑结构和稳定性的影响。建立在Heath等人的基础上。(2013)和Markose(2012)，该分析支持这样的观点，即风险集中在中央控制点，如果管理不当，可能会造成不稳定。尽管如此，按照国际标准保持中共预留资金的财政资源，并通过该系统广泛分散任何未拨出资金的损失，即使在非常极端的市场条件下，也可以限制共产党传递压力的可能性。该分析使用了国际清算银行衍生品宏观经济评估小组(MAGD)对全球场外衍生品市场41家最大银行参与者2012年衍生品头寸的数据。(C)2016爱思唯尔B.V.保留所有权利。
Among the reforms to OTC derivative markets since the global financial crisis is a commitment to collateralize counterparty exposures and to clear standardized contracts via central counterparties (CCPs). The reforms aim to reduce interconnectedness and improve counterparty risk management in these important markets. At the same time, however, the reforms necessarily concentrate risk in one or a few nodes in the financial network and also increase institutions' demand for high-quality assets to meet collateral requirements. This paper looks more closely at the implications of increased CCP clearing for both the topology and stability of the financial network. Building on Heath et al. (2013) and Markose (2012), the analysis supports the view that the concentration of risk in CCPs could generate instability if not appropriately managed. Nevertheless, maintaining CCP prefunded financial resources in accordance with international standards and dispersing any unfunded losses widely through the system can limit the potential for a CCP to transmit stress even in very extreme market conditions. The analysis uses the Bank for International Settlements Macroeconomic Assessment Group on Derivatives (MAGD) data set on the derivatives positions of the 41 largest bank participants in global OTC derivative markets in 2012. (C) 2016 Elsevier B.V. All rights reserved.