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...

Full description

Bibliographic Details

Published in:	The Journal of derivatives Vol. 24; no. 2; pp. 48 - 65
Main Author:	O’Kane, Dominic
Format:	Journal Article
Language:	English
Published:	New York Pageant Media 01.12.2016
Subjects:	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 Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!