G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11630
DP11630 The Failure of a Clearinghouse: Empirical Evidence
Guillaume Vuillemey; Vincent Bignon
发表日期2016-11-12
出版年2016
语种英语
摘要We provide the first empirical description of the failure of a derivatives clearinghouse. We use novel, hand-collected, archive data to study risk management incentives by the Paris commodity futures clearinghouse around its failure in 1974. We do not find evidence of lenient risk management during the commodity price boom of 1973-1974. However, we show strong distortions of risk management incentives, akin to risk-shifting, as soon as prices collapsed and a large clearing member approached distress. Distortions persist during the recovery/resolution phase. Theoretically, these distortions suggest that capitalization and governance were weak, but do not imply that moral hazard was significant before the failure. Our findings have implications for the design of clearing institutions, including their default management schemes.
主题Financial Economics
关键词Central clearing Ccp Failure Resolution Collateral Derivatives
URLhttps://cepr.org/publications/dp11630
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540444
推荐引用方式
GB/T 7714
Guillaume Vuillemey,Vincent Bignon. DP11630 The Failure of a Clearinghouse: Empirical Evidence. 2016.
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