Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/203320
Autor:innen: 
Kubitza, Christian
Pelizzon, Loriana
Getmansky Sherman, Mila
Datum: 
2019
Schriftenreihe/Nr.: 
SAFE Working Paper No. 235
Versionsangabe: 
September 14, 2019
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
Through the lens of market participants' objective to minimize counterparty risk, we investigate central clearing in derivatives markets, and its interaction with systematic risk, portfolio directionality, and loss sharing. Previous studies suggest that central clearing always reduces counterparty risk for a sufficiently large number of clearing members. We show that this is not the case - mostly because of loss sharing. Central clearing can increase counterparty risk, particularly during extreme market events, for traders with directional portfolios, and because CCPs mutualize default losses. Our results are consistent with the reluctance to clear derivative trades in the absence of a clearing obligation.
Schlagwörter: 
Central Clearing
Counterparty Risk
Systematic Risk
OTC markets
Derivatives
Margin
JEL: 
G01
G14
G18
G28
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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