Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades

The OTC derivatives market has always suffered from the fact that there are generally many contracts among market intermediaries where neither counterparty is an end-user. Active OTC market makers may have thousands of very similar contracts with one another. To the extent that each one needs to be...

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Veröffentlicht in:	The Journal of derivatives Jg. 24; H. 2; S. 48 - 65
1. Verfasser:	O’Kane, Dominic
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Pageant Media 01.12.2016
Schlagworte:	Agreements Algorithms Collateral Default Derivatives Financial institutions Interest rate swaps Linear programming Optimization Over the counter trading Risk assessment Securities markets Simulation Studies
ISSN:	1074-1240, 2168-8524
Online-Zugang:	Volltext
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