英文标题：
《Compressing Over-the-Counter Markets》
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作者：
Marco D\'Errico, Tarik Roukny
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最新提交年份：
2019
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英文摘要：
Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and concentrated trading structures, as featured by many large over-the-counter markets, are especially susceptible to reductions of notional and reconfigurations of network structure resulting from compression activities. Using transaction-level data on credit-default-swaps markets, we estimate reduction levels consistent with the historical development observed in these markets since the Global Financial Crisis. Finally, we study the effect of a mandate to centrally clear over-the-counter markets. When participants engage in both central clearing and portfolio compression, we find large netting failures if clearinghouses proliferate. Allowing for compression across clearinghouses by-and-large offsets this adverse effect.
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中文摘要：
场外交易市场是危机后全球金融体系改革的中心。我们展示了当参与者参与投资组合压缩（一种交易后净额结算技术）时，此类市场的规模和结构如何发生快速而广泛的变化。以许多大型场外交易市场为特征的紧密和集中的交易结构，尤其容易受到压缩活动导致的网络结构概念上的减少和重新配置的影响。利用信用违约掉期市场的交易层面数据，我们估计了与全球金融危机以来这些市场的历史发展相一致的减少水平。最后，我们研究了集中清理场外交易市场的授权的效果。当参与者同时参与中央清算和投资组合压缩时，如果清算所激增，我们会发现大量净额结算失败。允许跨票据交换所进行压缩，并在很大程度上抵消了这种不利影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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