Derivatives Clearing, Default Risk, and Insurance
利用芝加哥商品交易所所有清算会员的每日保证金数据，分析了清算所面临的会员违约风险，发现主要风险来自自营交易而非客户交易，且大额损失存在聚集性，最后探讨了私人保险覆盖违约损失的可能性。
A bstract Using daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange, we analyze the clearing house exposure to the risk of default by clearing members. We find that the major source of default risk for a clearing member is proprietary trading rather than trading by customers. Additionally, we show that extreme losses suffered by important clearing firms tend to cluster, which raises systemic risk concerns. Finally, we discuss how private insurance could be used to cover the loss from defaults by clearing members.