Anmerkungen:
In: Review of Asset Pricing Studies (RAPS), 2017, Vol 7, pp. 209-242
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 10, 2017 erstellt
Beschreibung:
Counterparty risk could hamper trade and worsen a financial crisis. A central clearing party (CCP) insures traders against counterparty default and thus benefits trade. Default of the CCP however becomes a new systemic risk. CCP risk management does not account for risk associated with crowded positions. This paper proposes a CCP exposure measure based on tail risk in trader portfolios. It identifies and measures crowded risk and assigns it to traders according to the polluter pays principle. CCP data show that crowded positions increase CCP exposure most (about one-third) on turbulent days when exposure is high to begin with