欧洲央行-煤矿里的金丝雀-2026.pdfVIP

WorkingPaperSeries

ChristianKubitza,MartinOehmkeMarginsascanariesinthecoalmine

No3187

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

Centralclearingcounterparties(CCPs)managecounterpartyriskbyrequiringclear-

ingmemberstopostmargins.Thispaperexplorestheroleofmarginsas“canariesin

thecoalmine:”Byinducingdefaultsoffragilecounterpartiesbeforecontractmaturity,

margincallsenableCCPstotransferthesecontractstoothercounterparties,thereby

preservingrisksharing.OurmodelrevealsapeckingorderofCCPriskmanage-

menttools.Whenfragilityislow,losssharingamongoriginalcounterpartiessuffices.

Whenfragilityishigh,suchthatdefaultsatcontractmaturitywouldtriggercascad-

ingfailuresamongclearingmembers,theCCPoptimallycomplementslosssharing

withmargins.Itisoptimaltousemarginsascanarieswhenthebalancesheetsof

fragilecounterpartiesareseverelyimpaired.Ourfindingshighlightthecomplemen-

tarynatureofCCPriskmanagementtools:margins,losssharing,andcounterparty

replacement.

Keywords:CentralClearingCounterparties(CCPs),MarginRequirements,Counter-

partyRisk,RiskSharing,CounterpartyReplacement.

JELClassification:G22,G23,D82

ECBWorkingPaperSeriesNo31871

Non-technicalsummary

Centralclearingcounterparties(CCPs)playacentralroleintoday’sfinancialsystem

bystandingbetweenbuyersandsellersofderivat