Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
研究了场外市场中对手方风险暴露的动态变化及中央对手方清算的净额结算效率，发现单一中央对手方在市场危机后可能失去优势，且大额初始暴露和违约强度会导致其提前失效。
Dynamic exposure and default contagion in the over-the-counter (OTC) market is considered in this paper to analyze the time-dependent priority of central counterparty (CCP) clearing. We investigate the asymptotic behavior of the netting efficiency which is measured as the average of total expected exposures (ATEE), by proving the convergence of empirical measure-valued processes associated with our dynamic CCP model when the number of entities tends to infinity. The limit of ATEE is supported by numerical evidence as an effective approximation to that of the finite number of entities by comparing it with Monte-Carlo simulation. The key insight revealed by our analysis is that one CCP can lose its superiority to bilateral clearing and multiple CCPs after a critical time after market distress happens, as observed in our extensive numerical experiments. We also find that both of the large initial exposure and default intensity of the entity can result in the premature failure of CCP clearing.