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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Vydané v:	The Journal of derivatives Ročník 24; číslo 2; s. 48 - 65
Hlavný autor:	O’Kane, Dominic
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Pageant Media 01.12.2016
Predmet:	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
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