Loss Sharing in Central Clearinghouses: Winners and Losers
研究了中央清算机构中损失分担规则对不同市场参与者的影响，发现当前规则有利于投资组合平坦的参与者，而方向性投资组合的参与者相对受损，这解释了后者不愿自愿使用中央清算的原因。
Abstract Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are unevenly distributed across market participants. Loss sharing rules determine who wins or loses from clearing. Current rules disproportionately benefit market participants with flat portfolios. Instead, those with directional portfolios are relatively worse off, consistent with their reluctance to voluntarily use central clearing. Alternative loss sharing rules can address cross-sectional disparities in clearing benefits. However, we show that CCPs may favor current rules to maximize fee income, with externalities on clearing participation.