.png){kind=icon}
返回
Optimal margin requirement
.png){kind=icon}
OA
AI
DOI：10.1016/j.frl.2018.11.010.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We investigate the optimal level of margin requirement in centralized or decentralized clearing and settlement systems. We prove in an analytical model that aggressively risk-sensitive margins are not optimal, and the actual position of the clients and the general macroeconomic conditions, like overall funding liquidity should also be taken into consideration. For example, in a crisis period characterized by high volatility, the clearing institution may be tempted to require larger margins to cover potential losses, however, clients just have difficulties to finance higher margins, hence, the probability of non-payment increases, and the expected loss of the clearing institution may also increase. We show that under realistic specifications, there exists a unique optimal margin minimizing the expected loss of the clearing institution. Characterizing this optimum, we provide a micro-level foundation for anti-cyclical risk management techniques (margins, collaterals, haircuts etc.) in general.
Keyword:
Risk-sensitive and anti-cyclical margin
Counterparty risk
Settlement system
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
6.9
论文数:
9.2K
被引数:
2.8W
机构
引用论文
Shaping and Optimizing the Image of Virtual City Spokespersons Based on Factor Analysis and Entropy Weight Methodology: A Cross-Sectional Study from China基于因子分析和熵权法的虚拟城市代言人形象塑造与优化 -- 来自中国的横断面研究.png)
Systems
OAAI
SystemsIF0
OAAI分享收藏 没有更多内容
没有更多内容