À繫¿¬±¸ Á¦ ±Ç È£ (2019³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1495~1529
pp.1495~1529
Heterogeneity and Netting Efficiency under Central Clearing : A Stochastic Network Analysis
Injun Hwang Korea University Business School
Baeho Kim Korea University Business School
This paper examines the effect of heterogeneity in clearing members¡¯ exposure management practices on system-wide expected exposure under central clearing. Our network model specifies the dynamics of pre-netted interbank exposure as a joint stochastic process that shapes interdependent bank-to-bank exposure distributions beyond normality. Employing over-the-counter derivatives market data provided by the U.S. Office of the Comptroller of the Currency, our simulation results indicate that heterogeneity in bank-to-bank exposure dynamics and size is systemically desirable in general, while the entire system benefits more from central clearing in a more homogeneous environment. Furthermore, policymakers should incentivize individual clearing members to enhance resiliency and stability in counterparty exposure management to maximize netting efficiency under central clearing.
Injun Hwang
Baeho Kim
This paper examines the effect of heterogeneity in clearing members¡¯ exposure management practices on system-wide expected exposure under central clearing. Our network model specifies the dynamics of pre-netted interbank exposure as a joint stochastic process that shapes interdependent bank-to-bank exposure distributions beyond normality. Employing over-the-counter derivatives market data provided by the U.S. Office of the Comptroller of the Currency, our simulation results indicate that heterogeneity in bank-to-bank exposure dynamics and size is systemically desirable in general, while the entire system benefits more from central clearing in a more homogeneous environment. Furthermore, policymakers should incentivize individual clearing members to enhance resiliency and stability in counterparty exposure management to maximize netting efficiency under central clearing.
Central Clearing,Exposure Distribution,Netting Efficiency,Heterogeneity,Simulation,Stochastic Network Model