Radoslav Raykov - Latest

• To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse

  Staff Working Paper 2016-4 Radoslav Raykov

  This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21