A Theory of Collateral Requirements for Central Counterparties

• 成果类型: Article
• 署名作者: Wang, Jessie Jiaxu; Capponi, Agostino; Zhang, Hongzhong
• 署名单位: Arizona State University; Arizona State University-Tempe; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4145
• 发表日期: 2022
• 页码: 6993-7017
• 关键词: central counterparty; collateral; initial margins; default funds; Macro-prudential policy

摘要

This paper develops a framework for designing collateral requirements in a centrally cleared market. Clearing members post collateral-initial margins and default fundsto increase their pledgeable income, thereby committing to risk management. The two types of collateral, however, are not perfect substitutes. By achieving loss mutualization, default funds are economically more efficient than initial margins in aligning members' incentives for risk management ex ante. The optimal mix of collateral resources balances the efficiency in providing incentives with their relative opportunity costs. Our model predicts increased use of initial margins under stringent capital requirements and of default funds under distressed market scenarios.