揭示非中央清算衍生品市场的网络结构:来自大型监管数据的证据
1European Central Bank, Frankfurt am Main, Germany.
概括
这项研究揭示了非中央清算的衍生品市场的网络结构,突出了欧元区以外的重大风险. 它提供了模拟流动性动态的工具,即使没有监管数据访问.
科学领域:
- 金融市场是金融市场.
- 网络分析 网络分析
- 风险管理 风险管理
背景情况:
- 非中央清算的衍生品市场在全球金融中发挥着至关重要的作用.
- 了解它们的网络结构对于评估系统风险和流动性至关重要.
- 欧洲市场基础设施条例 (EMIR) 提供了数据来分析这些市场.
研究的目的:
- 调查非中央清算的衍生品市场的网络结构.
- 分析潜在损失道和流动性动态.
- 开发用于模拟这些市场流动性的工具.
主要方法:
- 重建初始和变化保证金网络.
- 应用基于最大化的过工具来识别高暴露道.
- 分析度和强度分布以检测异常行为.
主要成果:
- 衍生品网络被发现是超小的,尽管没有中央清算.
- 风险主要是对欧元区以外的机构的.
- 度和强度分布的分离时刻标志着大额风险和极端流动性流出.
结论:
- 跨司法管辖区的合作是必不可少的,因为重要的国际风险.
- 拟议的工具可实现全球衍生品市场流动性动态的现实模拟.
- 保持机密性,同时为网络模拟提供有价值的参数估计.
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