Central Clearing and Risk Transformation
Central Clearing and Risk Transformation
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DOI：
10.2139/ssrn.2955647
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发表时间：
2017-02
期刊：
影响因子：
--
通讯作者：
R. Cont
中科院分区：
文献类型：
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作者：
R. Cont
2007-2008年金融危机后金融改革的支柱之一是通过中央对手方（CCP）清算场外交易，这促使CCP成为新的全球金融架构的关键要素。这些改革对金融体系风险的影响如何，中央结算是否达到了改革的最初目标，即提高金融稳定性和降低系统性风险，这一点很重要。我们发现，而不是消除对手方风险，中央结算将其转化为流动性风险：保证金催缴将会计损失转化为已实现的损失，影响结算成员的流动性缓冲。因此，初始保证金和违约基金的计算应该以现实的方式考虑这种流动性风险，特别是对于大头寸。虽然最近的讨论集中在中央结算公司的偿付能力，他们的资本和'皮肤在游戏中'和资本要求的中央结算公司的风险敞口的银行，我们认为，这些问题是次要的，风险管理和金融稳定性分析的主要重点应该是对清算成员的流动性和流动性资源的中央结算公司。结算会员应根据流动性而非交易对手风险评估其对中央结算公司的风险。涉及中央结算公司的压力测试应侧重于流动性压力测试和流动性资源的充足性。
The clearing of over-the-counter transactions through central counterparties (CCPs), one of the pillars of financial reform following the crisis of 2007-2008, has promoted CCPs as key elements of the new global financial architecture. It is important to examine how these reforms have affected risks in the financial system and whether central clearing has attained the initial objective of the reform, which is to enhance financial stability and reduce systemic risk. We show that, rather than eliminating counterparty risk, central clearing transforms it into liquidity risk: margin calls transform accounting losses into realised losses which affect the liquidity buffers of clearing members. Accordingly, initial margin and default fund calculations should account for this liquidity risk in a realistic manner, especially for large positions. While recent discussions have centred on the solvency of CCPs, their capital and 'skin-in-the-game' and capital requirements for CCP exposures of banks, we argue that these issues are secondary and that the main focus of risk management and financial stability analysis should be on the liquidity of clearing members and the liquidity resources of CCPs. Clearing members should assess their exposure to CCPs in terms of liquidity, rather than counterparty risk. Stress tests involving CCPs should focus on liquidity stress testing and adequacy of liquidity resources.