A systemic change of measure from central clearing
基于金融网络模型，研究中央清算如何改变系统性风险分布，将失败概率从分布中心移至尾部，并探讨通过保证金方案监管风险集中与金融系统韧性的关系。
Abstract This study investigates the systemic impact of central clearing based on a financial network model in which edge weights represent the sensitivities of one participant's failure to its counterparties' default likelihood. The reduced‐form model specifies the mechanism of systemic risk concentration under central clearing in that a central counterparty redistributes the probability mass of the systemic failure from the center of the distribution into its tail. Numerical illustrations shed light on implications for regulating the adverse dependence between risk concentration under central clearing and the resiliency of the financial system via proper margin schemes.