Economics serving society

(May 22) “The economics of central clearing: New directions”

May 22, 2019 at PSE, 48 boulevard Jourdan, 75014 Paris. Room R2-21, from 10h15 to 17h30. This workshop is co-financed by the ANR.

The economics of central clearing: New directions

Organizers: Gabrielle Demange (PSE-EHESS), Thibaut Piquard (PSE & Banque de France), Guillaume Vuillemey (HEC Paris)

10h15 – 10h45 : Welcome and coffee

10h45 – 11h : Introduction – What data is available for CCP research ? (ESMA)

11h – 11h30 : CCP fragmentation and location policy, Darrell Duffie (Stanford University)

11h30 – 13h : Session 1 – Competition between central clearing counterparties

  • Presentation 1 : The industrial organization of CCPs (Gabrielle Demange, Paris School of Economics – with Thibaut Piquard)
  • Presentation 2 : Clearing fragmentation and CCP basis (Evangelos Benos, Bank of England – with Albert Menkveld, Michalis Vasios et Wenqian Huang)
  • General discussion

13h – 14h : Lunch

14h – 15h30 : Session 2 – Default management by CCPs

  • Presentation 1 : Mitigating Fire Sales with Contracts : Theory and Evidence (Guillaume Vuillemey, HEC Paris)
  • Presentation 2 : Design of Central Counterparty Default Management Auctions (Wenqian Huang, Bank of International Settlements – with Haoxiang Zhu)
  • General discussion

15h30 – 16h : Coffee break

16h – 17h30 : Session 3 – CCPs and financial stability

  • Presentation 1 : Do central clearing parties reduce risk on repo markets? (Stefano Ungaro, Paris School of Economics)
  • Presentation 2 : An assessment of CCP resilience (Angela Armakolla, Affiliated Researcher Université Paris 1 Panthéon-Sorbonne and Labex ReFi)
  • General discussion