Optimising the multilateral netting of fungible OTC derivatives
研究通过压缩程序优化场外衍生品市场的多边净额结算，提出基于风险最小化的算法，发现基于L1范数的压缩能有效消除双边连接并保留现有头寸的最大公约数，对降低对手方风险有显著效果。
Multilateral netting, carried out via a procedure known as ‘compression’, is used to reduce counterparty exposure in over-the-counter derivatives markets. In compression, market participants share trade information via a third-party company, which then proposes a set of trades which will use multilateral netting to reduce counterparty exposures. In this paper, we propose and analyse a set of multilateral netting algorithms based on exposure minimization. As we assume fungibility, these methods are appropriate for derivative markets with wide-scale product standardization. We find that these compression algorithms all perform extremely well across a range of criteria and we discuss their relative attributes. We strongly favour compressions based on the -norm as we find that they eliminate a high fraction of bilateral connections and retain the greatest common divisor of existing positions. We argue that multilateral netting is an effective counterparty risk mitigation technique in OTC derivative markets if done optimally, and the benefits increase with the number of participants.