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学术讲座:Systemic Risk and Optimal Design of Central Clearing Counterparty

【金工论坛第五讲】

报告题目(Title:  Systemic Risk and Optimal Design of Central Clearing Counterparty

时间:2018年5月14日周一,12:20-13:20

地点:对外经济贸易大学博学楼925

主讲人(Speaker):邹斌

邹斌博士,康涅狄格大学数学系助理教授(tenure track Assistant Professor at the University of Connecticut)。 2007年获北京理工大学学士,2009年获北京理工大学硕士,2014年获加拿大阿尔伯特大学(University of Alberta)博士。 2015月5月至2016年8月,德国慕尼黑工业大学 (Technical University of Munich) 数学系金融数学博士后。 所著论文发表在International Journal of Theoretical and Applied Finance, Mathematica and Financial Economics, Insurance: Mathematics and Economics等国外期刊。 担任SIAM on Financial Mathematics, Mathematics of Operations Research, Journal of Banking and Finance等知名期刊的审稿人。

摘要(Abstract):

We propose a novel central clearing counterparty (CCP) design for a financial network with multilateral clearing, where the participation rate of individual banks depends on the volume-based fee charged by the CCP. We introduce a general demand function for the individual banks' participation rate, and seek the optimal fee that maximizes the net worth of the CCP. The optimal fee is explicitly solved for the case of a quadratic demand function. We show that partial participation of banks in the CCP at the optimal fee rate reduces banks' aggregate shortfall in the financial network and also reduces the overall systemic risk. This result justifies the alignment of interests of the profitable aspect and the regulatory aspect of the CCP. Furthermore, we carry out numerical examples to verify the theoretical results.

This talk is based on the joint work:
Z. Cui, Q. Feng, R. Hu, B. Zou, Systemic risk and optimal fee for central clearing counterparty under partial netting, Operations Research Letters (2018).