| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11630 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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