Derivatives clearing, default risk, and insurance

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      <subfield code="a">Jones, Robert A.</subfield>
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      <subfield code="a">Derivatives clearing, default risk, and insurance</subfield>
      <subfield code="c">Robert A. Jones, Christophe Pérignon</subfield>
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      <subfield code="a">Using daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange, we analyze the clearing house exposure to the risk of default by clearing members. We find that the major source of default risk for a clearing member is proprietary trading rather than trading by customers. Additionally, we show that extreme losses suffered by important clearing firms tend to cluster, which raises systemic risk concerns. Finally, we discuss how private insurance could be used to cover the loss from defaults by clearing members.</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">03/06/2013 Volumen 80 Número 2 - junio 2013 </subfield>
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