Dear all,

Our next seminar speaker at CEU is Martin Oehmke (LSE).

You are all cordially invited to his in-person seminar. 

Time and venue: April 29, Wednesday, 11.15am - 12.30pm, QS B-505, at CEU (51 Quellenstrasse, 1100 Vienna)

Seminar Title: "Margins as Canaries in the Coal Mine" (joint work with Christian Kubitza).

Abstract: Central clearing counterparties (CCPs) manage counterparty risk by requiring clearing members to post margins. This paper explores the role of margins as “canaries in the coal mine:” By inducing defaults of fragile counterparties before contract maturity, margin calls enable CCPs to transfer these contracts to other counterparties, thereby preserving risk sharing. Our model reveals a pecking order of CCP risk management tools. When fragility is low, loss sharing among original counterparties suffices. When fragility is high, such that defaults at contract maturity would trigger cascading failures among clearing members, the CCP optimally complements loss sharing with margins. It is optimal to use margins as canaries when the balance sheets of fragile counterparties are severely impaired. Our findings highlight the complementary nature of CCP risk management tools: margins, loss sharing, and counterparty replacement.

Speaker's website: https://sites.google.com/site/moehmke/martin-oehmke

Registration, till 12pm, the day before the seminar, is required at: https://forms.office.com/pages/responsepage.aspx?id=E1nE2VN24kuSC72wOGOBhDPxLiYqs2FKjgPAVi1DSIpUQUtVN1BQTkxRR0FTQTBESDBBSU1DSDRNUS4u&route=shorturl

 

With questions, please contact the CEU seminar organizer, Timea L. Molnar, at molnartl@ceu.edu.