OTC Clearing Arrangements for Bank Systemic Risk Regulation: A Simulation Approach
通过模拟方法比较不同场外清算模型的净额结算效率和损失集中影响，发现中央对手方强制清算只有在充分实现多边净额结算和损失共担时才能显著降低系统性风险。
Based on a simulation approach, this paper compares different over‐the‐counter (OTC) clearing models regarding their netting efficiency and loss‐concentration implications. The results indicate that the mandatory clearing of all standardized OTC derivatives by a Central Counterparty (CCP) propagated by regulators would significantly decrease systemic risk as compared to existing clearing arrangements only if the multilateral netting benefits of the CCP and loss mutualization are fully attained. Therefore, regulators have to ensure that there is a critical mass of asset classes under mandatory clearing, that broad market participation in the CCP is enabled, and that there is an appropriate client asset protection regime.