英文文献：What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses-彼得交不了保罗怎么办:期货交易所清算所的风险管理
英文文献作者：Shi, Wei,Irwin, Scott H.
英文文献摘要：
We model a futures exchange's clearinghouse as a "bank" holding a portfolio of credit lines available to its clearing members and collateralized with clearing margins or, equivalently, a portfolio of short European put basket options. Consequently, the "bank" model measures the clearinghouse's risk exposure as the sum of the payoff functions of these put options, emphasizing the portfolio diversification and the option-like payoffs. The model is used to assess exchange's clearinghouse's liquidity and credit risk exposure. The model provides exchange clearinghouses and government regulators with a theoretical framework of risk management that systematically integrates clearing margin requirements,credit lines and economic capital.

我们将期货交易所的清算所建模为“银行”，持有其清算成员可获得的信贷额度组合，并以清算保证金作抵押，或者等价地，持有欧洲看跌一篮子期权的卖空组合。因此，“银行”模型将清算所的风险暴露作为这些看跌期权的收益函数的总和来衡量，强调投资组合多样化和期权类收益。该模型用于评估交易所清算所的流动性和信用风险敞口。该模型为交易所和政府监管机构提供了一个风险管理的理论框架，系统地整合了清算保证金要求、信贷额度和经济资本。