Published in:Bank of England Working Paper ; No. 480
Extent:
1 Online-Ressource (31 p)
Language:
English
DOI:
10.2139/ssrn.2313093
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 16, 2013 erstellt
Description:
Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral trading exposures into centrally cleared exposures. By using numerical simulations, we study how this function is affected by the network's topology, focusing on the exposures of the central counterparty. By assuming that margin requirements are a linear function of exposures, we also draw conclusions as to how the network topology affects aggregate margin requirements