Compressing Over-the-Counter Markets

DOI10.1287/opre.2021.2107zbMath1484.91450arXiv1705.07155OpenAlexW3164954655MaRDI QIDQ5031652

Tarik Roukny, Marco D'errico

Publication date: 16 February 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.07155

zbMATH Keywords

derivativesnetwork optimizationfinancial regulationover-the-counter tradingmultilateral nettingcentral clearing

Mathematics Subject Classification ID

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

Related Items (4)

When does portfolio compression reduce systemic risk? ⋮ Optimal network compression ⋮ Multi-period liability clearing via convex optimal control ⋮ Serial rules in a multi-unit Shapley-Scarf market

Cites Work

• Counterparty risk externality: centralized versus over-the-counter markets
• To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
• Hidden Illiquidity with Multiple Central Counterparties
• Liquidity in Asset Markets With Search Frictions
• Optimising the multilateral netting of fungible OTC derivatives
• Entry and Exit in OTC Derivatives Markets
• Trading and Information Diffusion in Over-the-Counter Markets
• Over-the-Counter Markets
• Central clearing of OTC derivatives: Bilateral vs multilateral netting

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