Systemic Risk and Collateral Adequacy: Evidence from the Futures Market
研究了2008年危机期间加拿大期货市场的抵押品能否吸收系统性风险，发现常规抵押品水平足以应对极端压力，且系统性风险溢出效应小于股价下跌约1%的影响。
Abstract Conventional collateral requirements for derivatives are conservative, but not explicitly designed to buffer systemic risk. I explore collateral adequacy against systemic risk in the Canadian futures market during the 2008 crisis. I find that conventional collateral levels adequately absorb systemic risk, even allowing for an implausibly high level of stress, and that systemic risk spillovers do not exceed the effect of an approximately 1% downward stock price move. I also document that the largest systemic risk contributors are buffered relatively less than the rest, and that there is a large cross-country difference in the behavior of U.S. and Canadian institutions.