Risk‐Sharing or Risk‐Taking? Counterparty Risk, Incentives, and Margins
研究了衍生品交易中风险分担动机如何导致风险承担，坏消息会削弱保护卖方的风险预防激励并产生内生对手方风险，而保证金要求和中央清算设计可改善激励并促进风险分担。
ABSTRACT Derivatives activity, motivated by risk‐sharing, can breed risk‐taking. Bad news about the risk of an asset underlying a derivative increases protection sellers' expected liability and undermines their risk‐prevention incentives. This limits risk‐sharing, creates endogenous counterparty risk, and can lead to contagion from news about the hedged risk to the balance sheet of protection sellers. Margin calls after bad news can improve protection sellers' incentives and in turn enhance risk‐sharing. Central clearing can provide insurance against counterparty risk but must be designed to preserve risk‐prevention incentives.