Central counterparties and the topology of clearing networks

Marco Galbiati and Kimmo Soramäki ()

No 480, Bank of England working papers from Bank of England

Abstract: Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral trading exposures into centrally cleared exposures. By using numerical simulations, we study how this function is affected by the network's topology, focusing on the exposures of the central counterparty. By assuming that margin requirements are a linear function of exposures, we also draw conclusions as to how the network topology affects aggregate margin requirements.

Keywords: Central counterparty; CCP; clearing; settlement; network analysis (search for similar items in EconPapers)
JEL-codes: E58 G01 G18 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013-08-16
New Economics Papers: this item is included in nep-cmp and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0480

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