Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Post-trade Netting and Contagion. |
| Συγγραφείς: |
Veraart, Luitgard Anna Maria1 (AUTHOR) l.veraart@lse.ac.uk, Zhang, Yuliang1 (AUTHOR) y.zhang300@lse.ac.uk |
| Πηγή: |
Operations Research. Mar/Apr2026, Vol. 74 Issue 2, p667-681. 15p. |
| Θεματικοί όροι: |
*Systemic risk (Finance), *Derivative securities, *Liquidity (Economics) |
| Περίληψη: |
The paper analyses how post-trade netting in over-the-counter derivatives markets affects systemic risk. It defines the notion of a post-trade netting (PTN) exercise and shows that two post-trade netting services that rely on multilateral netting techniques, namely, portfolio rebalancing and portfolio compression, are special cases of a PTN exercise. It formally characterises the relationship between portfolio rebalancing and portfolio compression. The paper then analyses the effects of post-trade netting from a network perspective by considering contagion arising from defaults on variation margin payments. It provides sufficient conditions for post-trade netting to reduce systemic risk and shows that post-trade netting can be harmful. It also explores the implications of post-trade netting when institutions strategically react to liquidity stress by delaying their payments. We analyse how post-trade netting in over-the-counter derivatives markets affects systemic risk. In particular, we focus on two post-trade netting services that rely on multilateral netting techniques: portfolio rebalancing and portfolio compression. First, we provide mathematical characterisations of their netting mechanisms and explain their relationship. Then, we analyse the effects of post-trade netting from a network perspective by considering contagion arising from defaults on variation margin payments. We provide sufficient conditions for post-trade netting to reduce systemic risk and show that post-trade netting can be harmful. We also explore the implications, particularly when institutions strategically react to liquidity stress by delaying their payments. Funding: Y. Zhang gratefully acknowledges funding from an LSE PhD Studentship awarded by the London School of Economics and Political Science. Supplemental Material: The online appendix is available at https://doi.org/10.1287/opre.2021.0800. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
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