The Collateral Costs of Clearing
The Collateral Costs of Clearing
复制标题
清算的附带成本
DOI：
10.1111/jmcb.12802
复制
发表时间：
2021
期刊：
影响因子：
56.9
通讯作者：
Thomas Nellen
中科院分区：
文献类型：
--
作者：
Cyril Monnet;Thomas Nellen
在本工作文件中，我们研究了存在双边有限承诺的三种通用清算安排：简单的双边清算、通过第三方进行的独立抵押品清算，以及最复杂的中央对手方（CCP）清算。清算可确保场外交易 (OTC) 远期合约义务的结算，从而平滑规避风险的代理人的收入。清算需要抵押品来保证结算；这是代价高昂的，因为它减少了投资收入。虽然在更复杂的清算安排下福利更大，但我们发现这些安排对抵押品的要求也更高。
In this working paper, we study the three generic clearing arrangements in the presence of two-sided limited commitment: simple bilateral clearing, segregated collateral clearing through a third party, and - most sophisticated of all - central counterparty (CCP) clearing. Clearing secures the settlement of obligations from over-the-counter (OTC) forward contracts that smooth the income of risk-averse agents. Clearing requires collateral to guarantee settlement; this is costly, as it reduces income from investment. While welfare is greater under more sophisticated clearing arrangements, we find that these are also more demanding in terms of collateral.