The structural comparison of central counterparty interoperability

Xiaobing Feng and Matthew Pritsker
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Xiaobing Feng: Shanghai University of International Business and Economics, Shanghai 201620, P. R. China;
Matthew Pritsker: Federal Reserve Bank of Boston, Boston, MA 02210, United States

International Journal of Modern Physics C (IJMPC), 2014, vol. 25, issue 10, 1-21

Abstract: While a more integrated central counterparty (CCP) network via interoperability will provide users more cost efficient clearing and settlement services, it also increases the default transmission through the system. Using epidemic spreading model, it is found that a vertically interoperated CCP network is more robust compared with a horizontally interoperated one when certain condition is satisfied. Variation of the different transmission rates from both internal and external sources leads to different equilibrium. The safe range which is free from the crisis explosion state is identified and can be reached with certain policy coordination among nations.

Keywords: CCP interoperability; horizontal and vertical CCP network; external and internal transmission rates epidemic spreading model (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0129183114500491

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