BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Namur Institute For Complex Systems - ECPv6.15.14//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Namur Institute For Complex Systems
X-ORIGINAL-URL:https://www.naxys.be
X-WR-CALDESC:Events for Namur Institute For Complex Systems
REFRESH-INTERVAL;VALUE=DURATION:PT1H
X-Robots-Tag:noindex
X-PUBLISHED-TTL:PT1H
BEGIN:VTIMEZONE
TZID:Europe/Paris
BEGIN:DAYLIGHT
TZOFFSETFROM:+0100
TZOFFSETTO:+0200
TZNAME:CEST
DTSTART:20160327T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0200
TZOFFSETTO:+0100
TZNAME:CET
DTSTART:20161030T010000
END:STANDARD
BEGIN:DAYLIGHT
TZOFFSETFROM:+0100
TZOFFSETTO:+0200
TZNAME:CEST
DTSTART:20170326T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0200
TZOFFSETTO:+0100
TZNAME:CET
DTSTART:20171029T010000
END:STANDARD
BEGIN:DAYLIGHT
TZOFFSETFROM:+0100
TZOFFSETTO:+0200
TZNAME:CEST
DTSTART:20180325T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0200
TZOFFSETTO:+0100
TZNAME:CET
DTSTART:20181028T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Paris:20170328T130000
DTEND;TZID=Europe/Paris:20170328T140000
DTSTAMP:20260409T084824
CREATED:20170308T150202Z
LAST-MODIFIED:20170310T193806Z
UID:142-1490706000-1490709600@www.naxys.be
SUMMARY:Tarik Roukny (UGent)
DESCRIPTION:Title: Compressing Over-the-counter Markets \n  \nAbstract: In this talk\, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First\, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second\, we show conditions under which such excess can be removed while preserving individual net positions. We refer to this operation as compression and identify feasibility and efficiency criteria\, highlighting intermediation as the key element for excess levels. We show that a trade-off exists between the amount of notional that can be removed from the system and the conservation of trading relationships. Third\, we apply our theoretical framework to a unique and comprehensive transaction-level dataset on OTC derivatives. We document large levels of excess across all markets and time. Finally\, we show that compression – when applied at a global level  – can reduce a considerable fraction of total notional even under relationship constrained approaches.
URL:https://www.naxys.be/event/tarik-roukny-ugent/
LOCATION:Seminar room\, Rempart de la Vierge 8\, Namur\, 1170
CATEGORIES:NAXYS Seminar
END:VEVENT
END:VCALENDAR