|
|||||
|
|
Systemic risk and optimal fee for central clearing counterparty under partial netting |
|
| Authors: | Zhenyu Cui Qi Feng Ruimeng Hu Bin Zou |
| Institution: | 1. School of Business, Stevens Institute of Technology, 1 Castle Point Terrace on Hudson, Hoboken, NJ 07030, USA;2. Department of Statistics and Applied Probability, University of California Santa Barbara, CA 93106-3110, USA;3. Department of Mathematics, University of Connecticut, 341 Mansfield Road U1009, Storrs, CT 06269-1009, USA |
| Abstract: | We propose a novel central clearing counterparty (CCP) design for a financial network, in which the participation of banks in the CCP depends on the proportional clearing fee. We obtain the optimal fee that maximizes the CCP’s net worth. We show that partial participation of banks in the CCP at the optimal fee rate reduces banks’ aggregate shortfall and also reduces the overall systemic risk. We also carry out numerical examples to verify the theoretical results. |
| Keywords: | Clearing fee Systemic risk Financial network Optimization Shortfall |
| 本文献已被 ScienceDirect 等数据库收录！ | |