Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

DOI10.1080/14697688.2020.1844283zbMath1479.91371OpenAlexW3127526176MaRDI QIDQ5014250

Ting-Ting Zhang, Yanchu Liu, Li Jun Bo

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1844283

zbMATH Keywords

default contagionbilaterally clearingcentral clearing counterpartydynamic exposurenetting efficiency

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)

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