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摘要翻译：
我们研究了场外交易集中清算对交易对手风险的影响，市场中场外交易涉及多个具有异质特征的资产类别。引入中央对手方(CCP)对预期交易商间风险敞口的影响取决于交易商之间的多边净额结算和资产类别之间的双边净额结算之间的权衡。我们发现，这种权衡对资产类别的“风险”以及资产类别之间风险敞口的相关性方面的资产类别异质性假设很敏感。特别是，假设独立、同质的风险敞口的分析表明，中央清算只有在参与者数量高得不切实际的情况下才是有效的，但如果现实地考虑到不同资产类别之间的风险和相关性差异，则会得出相反的结论。我们认为，从经验上讲，模型参数的合理规范导致了这样一个结论，即中央结算确实减少了交易商之间的风险敞口：CCP中多边净额结算的收益超过了双边净额结算协议中跨资产类别净额结算的损失。当利率衍生品存在CCP时，增加信用衍生品的CCP会减少整体风险敞口。这些发现对模型的统计假设以及用于量化暴露的风险度量的选择是稳健的。
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英文标题：
《Central Clearing of OTC Derivatives: bilateral vs multilateral netting》
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作者：
Rama Cont and Thomas Kokholm
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最新提交年份：
2013
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeoff between multilateral netting across dealers on one hand and bilateral netting across asset classes on the other hand. We find this tradeoff to be sensitive to assumptions on heterogeneity of asset classes in terms of `riskyness' of the asset class as well as correlation of exposures across asset classes. In particular, while an analysis assuming independent, homogeneous exposures suggests that central clearing is efficient only if one has an unrealistically high number of participants, the opposite conclusion is reached if differences in riskyness and correlation across asset classes are realistically taken into account. We argue that empirically plausible specifications of model parameters lead to the conclusion that central clearing does reduce interdealer exposures: the gain from multilateral netting in a CCP overweighs the loss of netting across asset classes in bilateral netting agreements. When a CCP exists for interest rate derivatives, adding a CCP for credit derivatives is shown to decrease overall exposures. These findings are shown to be robust to the statistical assumptions of the model as well as the choice of risk measure used to quantify exposures.
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PDF链接：
https://arxiv.org/pdf/1304.5065
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