期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：We study the optimal design of clearing systems. We analyze how counterparty risk should be allocated, whether traders should be fully insured against that risk, and how moral hazard a¤ects the optimal allocation of risk. The main advantage of centralized clearing, as opposed to no or decentralized clearing, is the mutualization of risk. While mutualization fully insures idiosyncratic risk, it cannot provide insurance against aggregate risk. When the latter is signi cant, it is e¢ cient that protection buy- ers exert e¤ort to nd robust counterparties, whose low default risk makes it possible for the clearing system to withstand aggregate shocks. When this e¤ort is unobserv- able, incentive compatibility requires that protection buyers retain some exposure to counterparty risk even with centralized clearing.
关键词：Risk-sharing; Moral hazard; Optimal contracting; Counterparty risk;Central Clearing Counterparty; Mutualization; Aggregate and idiosyncratic risk
