【Author】
Ding, Xiaowei; Zhu, Hongyao
【Source】BLOCKCHAIN TECHNOLOGY AND APPLICATION: SECOND CCF CHINA BLOCKCHAIN CONFERENCE (CBCC 2019)
【Abstract】Blockchain is a decentralized infrastructure that has attracted more and more attention from financial institutions due to its irreplaceable advantages. We implemented a blockchain solution for interest rate swap based on the Corda platform. Based on Andersen et al. [8], we derive a risk estimation model for blockchain empowered interest rate swap trading. We conjecture that most of problems in today's derivative markets could potentially be relieved. For example, through our numerical experiment, we find that with blockchain, both the expected risk exposure and dynamic initial margin decrease significantly, which reduces the risk in interest rate swap trading and increases market liquidity. At the same time, we expect the Effective Expected Positive Exposure (EEPE) in the Basel III standard to decrease. Next, we plan to conduct more mathematical and numerical analysis and continue working on improving our blockchain based trading implementation and risk management model.
【Keywords】Blockchain; R3; Corda; Risk Weighted Assets (RWA); Effective expected positive exposure(EEPE); Dynamic initial margin; Variation margin; Interest rate swap; Risk management; Basel III
评论