Econ Papers Daily / 期刊论文
场外信用违约互换市场中的同配匹配与网络结构
Assortative matching and network structure in the over-the-counter credit default swap market
摘要
We investigate assortative matching patterns between dealers and customers in the over-the-counter financial market by employing a recently developed empirical model of strategic network formation. Using UK credit default swap data, we find evidence of assortative matching along two dimensions: observed balance-sheet size for institutions with available asset data, and CDS market activity measured by gross notional exposure. These patterns are consistent with several possible mechanisms, including counterparty-risk management, correlated-risk concerns, search frictions, regulatory constraints, and dealer intermediation capacity. We further examine the determinants of reference-entity-specific networks using various network measures. Our results suggest that trading relationships in CDS transactions involving UK-regulated dealers are concentrated among a relatively small number of active participants, and that reference-entity-level network activity is associated with both hedging and speculative motives. These findings show that OTC market structure reflects both participant characteristics and underlying risks, with implications for market concentration and risk monitoring.
中文摘要
我们采用近期开发的策略性网络形成实证模型，研究场外金融市场中交易商与客户之间的同配匹配模式。利用英国信用违约互换数据，我们发现沿两个维度存在同配匹配的证据：对于具有可用资产数据的机构，其观测到的资产负债表规模；以及以总名义敞口衡量的CDS市场活动。这些模式与若干可能机制相一致，包括交易对手风险管理、相关性风险担忧、搜寻摩擦、监管约束以及交易商中介能力。我们进一步使用多种网络指标考察参考实体特定网络的决定因素。我们的结果表明，涉及英国受监管交易商的CDS交易中的交易关系集中于相对少数活跃参与者，且参考实体层面的网络活动与对冲和投机动机均相关。这些发现表明，场外市场结构既反映参与者特征，也反映基础风险，并对市场集中度和风险监测具有启示意义。