Variation Margins, Fire Sales, and Information-constrained Optimality
研究了衍生品交易中因保护卖方行为不可观测而产生的道德风险，发现最优合约包含变动保证金，但保证金催缴引发的抛售会压低资产价格并加剧其他卖方的约束，然而均衡在信息约束下仍是有效的。
Abstract In order to share risk, protection buyers trade derivatives with protection sellers. Protection sellers’ actions affect the riskiness of their assets, which can create counterparty risk. Because these actions are unobservable, moral hazard limits risk sharing. To mitigate this problem, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate some assets, depressing asset prices. This tightens the incentive constraints of other protection sellers and reduces their ability to provide insurance. Despite this fire-sale externality, equilibrium is information-constrained efficient. Investors, who benefit from buying assets at fire-sale prices, optimally supply insurance against the risk of fire sales.