Derivatives Clearing, Default Risk, and Insurance

Abstract : Using daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange, we analyze the clearing house exposure to the risk of default by clearing members. We find that the major source of default risk for a clearing member is proprietary trading rather than trading by customers. Additionally, we show that extreme losses suffered by important clearing firms tend to cluster, which raises systemic risk concerns. Finally, we discuss how private insurance could be used to cover the loss from defaults by clearing members.
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Journal of Risk and Insurance, Wiley, 2013, 80 (2), pp.373-400. 〈10.1111/j.1539-6975.2012.01489.x〉
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Contributeur : Amaury Bouvet <>
Soumis le : samedi 1 juin 2013 - 19:10:10
Dernière modification le : jeudi 11 janvier 2018 - 06:19:31

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Christophe Pérignon, Robert A. Jones. Derivatives Clearing, Default Risk, and Insurance. Journal of Risk and Insurance, Wiley, 2013, 80 (2), pp.373-400. 〈10.1111/j.1539-6975.2012.01489.x〉. 〈hal-00829059〉

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