Faculty Advisor

Sturm, Stephan

Abstract

Following the 2008 financial crisis, a new and mostly unstudied technique has become a central tenet of today’s financial markets: portfolio trade compression. Trade compression is a service offered by third party vendors that lowers a bank’s gross notional exposures, while keeping net exposures the same. However, the effects of compression on systemic risk are unknown. In order to test the effectiveness of trade compression in risk mitigation, we compare the loss after default in markets with a variety of structures.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2018

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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