交易对手风险网络：OTC中的相关性分析

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英文标题：
《The Network of Counterparty Risk: Analysing Correlations in OTC
  Derivatives》
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作者：
Vahan Nanumyan, Antonios Garas, Frank Schweitzer
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最新提交年份：
2015
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英文摘要：
  Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only report their aggregated quarterly risk exposure, but no details about their counterparties. Hence, little is known about the diversification of counterparty risk. In this paper, we reconstruct the weighted and time-dependent network of counterparty risk in the OTC derivatives market of the United States between 1998 and 2012. To proxy unknown bilateral exposures, we first study the co-occurrence patterns of institutions based on their quarterly activity and ranking in the official report. The network obtained this way is further analysed by a weighted k-core decomposition, to reveal a core-periphery structure. This allows us to compare the activity-based ranking with a topology-based ranking, to identify the most important institutions and their mutual dependencies. We also analyse correlations in these activities, to show strong similarities in the behavior of the core institutions. Our analysis clearly demonstrates the clustering of counterparty risk in a small set of about a dozen US banks. This not only increases the default risk of the central institutions, but also the default risk of peripheral institutions which have contracts with the central ones. Hence, all institutions indirectly have to bear (part of) the counterparty risk of all others, which needs to be better reflected in the price of OTC derivatives.
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中文摘要：
交易对手风险是指一方在双边合同中违约的风险。这种风险不仅取决于双方当事人，还取决于双方当事人各自持有的各种其他合同的风险。在相当非正式的市场中，如场外交易（OTC）衍生品市场，机构只报告其季度风险敞口总额，而不报告其交易对手的详细信息。因此，对交易对手风险的多样化知之甚少。本文重建了1998年至2012年美国场外衍生品市场交易对手风险的加权时间依赖网络。为了代理未知的双边风险敞口，我们首先根据机构的季度活动和在官方报告中的排名，研究机构的共现模式。通过加权k核分解进一步分析这种方法获得的网络，以揭示核心-外围结构。这使我们能够将基于活动的排名与基于拓扑的排名进行比较，以确定最重要的机构及其相互依赖关系。我们还分析了这些活动中的相关性，以表明核心机构的行为具有很强的相似性。我们的分析清楚地表明，在大约十几家美国银行中，交易对手风险存在集群。这不仅增加了中央机构的违约风险，也增加了与中央机构有合同的外围机构的违约风险。因此，所有机构都必须间接承担（部分）所有其他机构的交易对手风险，这需要更好地反映在场外衍生品的价格中。
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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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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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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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关键词：相关性分析 相关性 OTC Institutions counterparty