Berlinger, Edina and Dömötör, Barbara and Illés, Ferenc (2017) Anti-cyclical versus Risk-sensitive Margin Strategies in Central Clearing. Working Paper. Corvinus University of Budapest Faculty of Economics, Budapest.
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Abstract
We analyzed the effects of different margin strategies on the loss distribution of a clearinghouse during different crises. First, we developed a general one-period analytical model and proved the existence of a unique optimal margin which is not necessarily risk-sensitive even in a weaker sense. Then, we simulated the operation of a hypothetical clearinghouse active on the US stock futures market in the period 2008-2015. We found that anti-cyclical margin strategies might be optimal also for clearinghouses focusing on their micro-level financial stability, not only for regulators aiming to reduce systemic risk. Anti-cyclical margin strategies performed especially well in minor crises like Flash Crash.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Series Name: | Corvinus Economics Working Papers - CEWP |
| Series Number / Identification Number: | 2017/03 |
| Uncontrolled Keywords: | financial stability, clearinghouse, central counterparty, EMIR, agent-based simulation, stochastic dominance |
| JEL classification: | G20 - Financial Institutions and Services: General G28 - Financial Institutions and Services: Government Policy and Regulation |
| Divisions: | Faculty of Business Administration > Institute of Finance and Accounting > Department of Finance |
| Subjects: | Finance |
| Funders: | János Bolyai Research Scholarship of the Hungarian Academy of Sciences |
| References: | |
| ID Code: | 2894 |
| Deposited By: | Ádám Hoffmann |
| Deposited On: | 02 Jun 2017 07:46 |
| Last Modified: | 02 Jun 2017 07:46 |
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