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- W2789269254 abstract "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." @default.
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- W2789269254 date "2018-05-01" @default.
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- W2789269254 title "Systemic risk and optimal fee for central clearing counterparty under partial netting" @default.
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- W2789269254 doi "https://doi.org/10.1016/j.orl.2018.03.001" @default.
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