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Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

Bo, LJ; Liu, YC; Zhang, TT

Liu, YC (corresponding author), Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou, Peoples R China.

QUANTITATIVE FINANCE, ; ():

Abstract

Dynamic exposure and default contagion in the over-the-counter (OTC) market is considered in this paper to analyze the time-dependent priority of cent......

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