Leírás
Trade compression is used to reduce the number of contracts that banks
have on their books, while keeping the same economic exposure (present
value, risks). The compression is carried out by assigning weights to
each deal (possibly fully unwinding it), as a result, the profile of
the portfolio is given as a linear combination of the trade-wise
exposures. This can be done both on a bilateral (within the firm
itself) and multilateral basis (across multiple firms), where a group
of banks agree to tear up offsetting contracts.
The most important benefits of doing this is reducing gross notional
exposure, which reduces the capital needed to cover their Over The
Counter (OTC) contracts and also lowers operational costs and
counterparty exposures.
Compression itself can be viewed as a linear optimization problem
where the set of boundary conditions is to keep the economic exposure
constant. We will review some of the approaches that can be found in
the literature and introduce an approach we implemented in production.
The talk is held in English!
Az előadás angol nyelven lesz megtartva!