Systemic risk and optimal fee for central clearing counterparty under partial netting

作者：Cui Zhenyu; Feng Qi; Hu Ruimeng; Zou Bin^*

来源：Operations Research Letters, 2018, 46(3): 306-311.

DOI：10.1016/j.orl.2018.03.001

• Clearing fee
• Systemic risk
• Financial network
• Optimization
• Shortfall

We propose a novel central clearing counterparty (CCP) design for a financial network, in which the participation of banks in the CCP depends on the proportional clearing fee. We obtain the optimal fee that maximizes the CCP's net worth. We show that partial participation of banks in the CCP at the optimal fee rate reduces banks' aggregate shortfall and also reduces the overall systemic risk. We also carry out numerical examples to verify the theoretical results.

• 出版日期2018-5