店頭衍生性商品之集中結算與風險管理

Central Clearing of OTC Derivatives and Risk Management

2008年金融海嘯之後，各國的金融改革方案均不約而同地納入了店頭衍生性商品之集中結算制度，希冀透過集中結算來強化市場風險與交易人信用風險之控管機制。近年來台灣在店頭衍生性商品之交易上也日漸活絡，市場總曝險額度也日益擴大，有必要檢討集中結算的可行性。本研究探討美國、歐洲、新加坡和日本等四國六個主要交易所施行店頭衍生性商品集中結算的風險管理模式，進而針對臺灣期貨交易所推行店頭市場集中結算制度時之結算會員制度、結算架構、衍生性商品保證金模型，以及財務防衛配套機制。

Following the Financial Tsunami of 2008, centralized clearing of OTC derivatives has become an important issue for major countries. It is hoped that market risk and counterparty risk of OTC derivatives can be controlled through centralized clearing. The market for OTC derivatives in Taiwan has been growing very fast in recent years, bringing up the necessity for discussing whether centralized clearing should be one of the means to strengthen the risk management of OTC derivatives. This paper studies the central clearing systems of 6 primary exchanges in US, Europe, Sigapore and Japan. For the purpose of enforcing central clearing in Taiwan, this paper also proposes a framework of OTC clearing, margin models for derivatives, and proper financial safety nets.