Ruimeng Hu

University of California, Santa Barbara (UCSB)

South Hall 5504

Santa Barbara, CA 93106

United States

  • University of California, Santa Barbara (UCSB)

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Systemic Risk and Optimal Fee Structure for Central Clearing Counterparty Under Partial Netting

Number of pages: 23 Posted: 28 Oct 2016 Last Revised: 18 Jan 2018
Zhenyu Cui, Qi Feng, Ruimeng Hu and Bin Zou
Stevens Institute of Technology - School of Business, University of Connecticut, University of California, Santa Barbara (UCSB) and University of Connecticut - Department of Mathematics
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Abstract:

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Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk