Central Counterparty Default Waterfalls and Systemic Loss
研究了中央对手方违约瀑布设计差异对金融系统损失的影响，通过结构模型分析支付网络依赖和摩擦，并用美国信用违约互换市场监管数据实证检验。
Abstract Central counterparty (CCP) default waterfalls act as the last lines of defense in over-the-counter markets by managing and allocating resources to cover payment defaults. This article examines the impact of variations in waterfall design on financial system losses in the presence of payment network dependencies and frictions in the cleared and noncleared portion of the system. Through the development of a structural model, we draw several theoretical conclusions about the effectiveness of CCP default waterfalls under severe payment stress. These findings are empirically quantified by testing the model using supervisory data for the U.S. credit default swap market.