Connect the exposures.
A hedge in one venue may offset a position in another. A shared exposure graph makes that relationship visible before capital is allocated.
01 / THE THESISRisk travels across venues.
Risk travels across venues.
Capital should see the whole map.
Keep a risk budget.
Less collateral is only useful if the portfolio still survives its modeled tail losses. CVaR is the constraint that keeps the allocation honest.
One asset. One pledge.
Net the exposure, then assign the collateral. An exclusive pledge record prevents the same asset from securing two obligations.