Discussion of OTC Derivatives Reform: Netting and Networks

نویسندگان

  • Kevin Davis
  • Alexandra Heath
  • Gerard Kelly
  • Mark Manning
چکیده

The paper by Alexandra Heath, Gerard Kelly and Mark Manning does an excellent job of extending existing models of the effects of requiring use of CCPs for OTC derivatives on counterparty risk and implications for collateral demand. The innovations include: first, considering a particular market structure where there are core institutions in the OTC markets that also trade with and provide services to a periphery of other participants; second, allowing for differential involvement of the core and periphery in CCPs; and third, introducing the role of collateral requirements for initial and variation margins.

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تاریخ انتشار 2013