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Edina Berlinger

is an associate professor at Corvinus University of Budapest and she is also the Head of Department of Finance. Her expertise covers asset pricing and risk management and especially the financial management of student loan systems. She has participated in several research and consultancy projects including design and implementation of student loan schemes as World Bank consultant and a research fellowship at the Collegium Budapest in complex systems. She received her PhD in Economics (2004) from Corvinus University.

Barbara Dömötör

is an assistant professor of the Department of Finance at Corvinus University of Budapest (CUB). She received her PhD in 2014 for her thesis modelling corporate hedging behaviour. Prior to her recent position she worked for several multinational banks treasury. Her research interest focuses on financial markets, financial risk management and financial regulation.

Ferenc Illés

is a PhD student at Corvinus University of Budapest at the Department of Finance. He received his degree in mathematics at Eötvös Loránd University in 2008. Prior to his PhD studies he worked in the banking industry.

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Edina Berlinger, Barbara Dömötör, Ferenc Illés: Anti-cyclical versus Risk-sensitive Margin Strategies in Central Clearing

We analyzed the effects of different margin strategies on the loss distribution of a clearinghouse during different crises. First, we developed a general one-period analytical model and proved the existence of a unique optimal margin which is not necessarily risk-sensitive even in a weaker sense. Then, we simulated the operation of a hypothetical clearinghouse active on the US stock futures market in the period 2008-2015. We found that anti-cyclical margin strategies might be optimal also for clearinghouses focusing on their micro-level financial stability, not only for regulators aiming to reduce systemic risk. Anti-cyclical margin strategies performed especially well in minor crises like Flash Crash.

Last modified: 2018.11.30.