The collateral rule: Evidence from the credit default swap market

• 成果类型: Article
• 署名作者: Capponi, Agostino; Cheng, Wan-Schwin Allen; Giglio, Stefano; Haynes, Richard
• 署名单位: Columbia University; Yale University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.12.003
• 发表日期: 2022
• 页码: 58-86
• 关键词: Collateral requirements; Value at risk; Endogenous collateral; Clearinghouses; Tail risk measures

摘要

In this paper, we explore a novel dataset of daily credit default swap (CDS) positions cleared by the largest CDS clearinghouse along with posted margins to study how collateral varies with portfolio risks and market conditions. Contrary to many theoretical models, where collateral constraints follow Value-at-Risk rules, we find strong evidence that collateral requirements are set an order of magnitude larger than what Value-at-Risk rules imply. The panel variation in collateralization rates is well captured by measures of extreme tail risks. We develop a model of endogenous collateral, which explains the conservativeness of collateral levels through disagreement about extreme states. (C) 2021 Elsevier B.V. All rights reserved.