TY  - UNPD
A1  - Kubitza, Christian
A1  - Pelizzon, Loriana
A1  - Getmansky, Mila
T1  - Loss sharing in central clearinghouses: winners and losers
N2  - 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.
T3  - ICIR Working Paper Series - No. 31 [25.10.2023] 
KW  - Central Clearing
KW  - Counterparty Risk
KW  - Loss Sharing
KW  - OTC markets
KW  - Derivatives
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/77248
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-772481
UR  - https://www.icir.de/fileadmin/user_upload/editors/documents/working_papers/wp_31_optimal_multinetting_v24_icir.pdf
PB  - International Center for Insurance Regulation
CY  - Frankfurt am Main
ER  -