學術講座：Systemic Risk and Optimal Design of Central Clearing Counterparty

【金工論壇第五講】

報告題目（Title）:  Systemic Risk and Optimal Design of Central Clearing Counterparty

時間：2018年5月14日周一，12:20-13:20

地點：對外經濟貿易大學博學樓925

主講人（Speaker）：鄒斌

鄒斌博士，康涅狄格大學數學系助理教授（tenure track Assistant Professor at the University of Connecticut）。 2007年獲北京理工大學學士，2009年獲北京理工大學碩士，2014年獲加拿大阿爾伯特大學（University of Alberta）博士。 2015月5月至2016年8月，德國慕尼黑工業(yè)大學 (Technical University of Munich) 數學系金融數學博士后。 所著論文發(fā)表在International Journal of Theoretical and Applied Finance, Mathematica and Financial Economics, Insurance: Mathematics and Economics等國外期刊。 擔任SIAM on Financial Mathematics, Mathematics of Operations Research, Journal of Banking and Finance等知名期刊的審稿人。

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).