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Systemic Risk and Optimal Design of Central Clearing Counterparty (CCP)

  • 演讲者:Dr. Zou Bin (康涅狄格大学)

  • 时间:2017-12-21 14:30-15:30

  • 地点:慧园3栋 415报告厅

We propose a novel central clearing counterparty (CCP) design for a financial network with multilateral clearing, where the participation rate of individual banks depends on the volume-based fee charged by the CCP. We introduce a general demand function for the individual banks' participation rate, and seek the optimal fee that maximizes the net worth of the CCP. The optimal fee is explicitly solved for the case of a quadratic demand function. We show that partial participation of banks in the CCP at the optimal fee rate reduces banks' aggregate shortfall in the financial network and also reduces the overall systemic risk. This result justifies the alignment of interests of the profitable aspect and the regulatory aspect of the CCP. Furthermore, we carry out numerical examples to verify the theoretical results.