Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties*
研究了中央对手方（CCP）因交易者拥挤头寸而产生的系统性风险，提出基于尾部风险的暴露度量方法，并依据污染者付费原则分配风险。CCP数据显示拥挤头寸在动荡日使暴露增加约三分之一。
Counterparty risk could hamper trade and worsen a financial crisis. A central clearing party (CCP) insures traders against counterparty default and thus benefits trade. Default of the CCP however becomes a new systemic risk. CCP risk management does not account for risks associated with crowded positions. This paper proposes a CCP exposure measure based on tail risk in trader portfolios. It identifies and measures crowded risk and assigns it to traders according to the polluter pays principle. CCP data show that crowded positions increase CCP exposure most (about one-third) on turbulent days, when exposure is high already.