Earticle

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영어

This paper examines the effect of heterogeneity in exposures between banks on the netting efficiency under central clearing. Our network model specifies the prenetted interbank exposures as a joint stochastic process that shapes cross-correlation of asymmetric distributions. Employing OTC derivatives market data provided by the U.S. Office of the Comptroller of the Currency, we analyze how the correlation between interbank exposure distributions and the dispersion in bank sizes affect multilateral netting efficiency in the presence of a central clearing counterparty across various bank-specific resiliency and volatility parameters. Our simulation results indicate that the multilateral netting benefit under central clearing outweighs the bilateral reduction of expected exposures within an environment of systemic homogeneity in the distributions of interbank exposure dynamics. Furthermore, we find that policymakers should incentivize individual banks to enhance the resiliency and stability of their management of interbank exposures in a less homogeneous way.

목차

Abstract
1. Introduction
2. Model Framework
2.1 Exposure and Stochastic Network Models
2.2 Netting Efficiency under Central Clearing
3. Methodology
3.1 Simulation Setup
3.2 Data and Sample
4. Main Analysis
4.1 Baseline model
4.2 Heterogeneity in Exposure Distributions
4.3 Heterogeneity in Bank Size
4.4 Bank-Specific Resiliency and Stability
5. Conclusion
References

키워드

저자

• Injun Hwang [ Korea University Business School, Anam-ro, Seongbuk-Gu, Seoul 02841, Republic of Korea ]
• Baeho Kim [ Korea University Business School, Anam-ro, Seongbuk-Gu, Seoul 02841, Republic of Korea. ] Corresponding author

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

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  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330