Post-trade Netting and Contagion
分析了场外衍生品市场中交易后净额结算如何影响系统性风险，定义了净额结算操作，并指出组合再平衡和组合压缩是其特例，从网络视角考察了保证金违约引发的传染效应。
The paper analyses how post-trade netting in over-the-counter derivatives markets affects systemic risk. It defines the notion of a post-trade netting (PTN) exercise and shows that two post-trade netting services that rely on multilateral netting techniques, namely, portfolio rebalancing and portfolio compression, are special cases of a PTN exercise. It formally characterises the relationship between portfolio rebalancing and portfolio compression. The paper then analyses the effects of post-trade netting from a network perspective by considering contagion arising from defaults on variation margin payments. It provides sufficient conditions for post-trade netting to reduce systemic risk and shows that post-trade netting can be harmful. It also explores the implications of post-trade netting when institutions strategically react to liquidity stress by delaying their payments.