Loss sharing in central clearinghouses: winners and losers
- Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses from clearing. Current rules disproportionately benefit market participants with flat portfolios. Instead, those with directional portfolios are relatively worse off, consistent with their reluctance to voluntarily use central clearing. Alternative loss sharing rules can address cross-sectional disparities in clearing benefits. However, we show that CCPs may favor current rules to maximize fee income, with externalities on clearing participation.
Volltext Dateien herunterladen
Weitere Dienste
| Verfasserangaben: | Christian KubitzaGND, Loriana PelizzonORCiDGND, Mila GetmanskyGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-772481 |
| URL: | https://www.icir.de/fileadmin/user_upload/editors/documents/working_papers/wp_31_optimal_multinetting_v24_icir.pdf |
| Schriftenreihe (Bandnummer): | ICIR Working Paper Series (No. 31 [25.10.2023]) |
| Verlag: | International Center for Insurance Regulation |
| Verlagsort: | Frankfurt am Main |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2023 |
| Jahr der Erstveröffentlichung: | 2023 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 28.03.2024 |
| Freies Schlagwort / Tag: | Central Clearing; Counterparty Risk; Derivatives; Loss Sharing; OTC markets |
| Auflage: | This version: October 25, 2023. |
| Seitenzahl: | 100 |
| HeBIS-PPN: | 516922882 |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
