Guillaume Vuillemey – Mitigating Fire Sales with a CCP

Guillaume Vuillemey (Associate Professor of Finance, HEC) is a well recognized scholar in financial market infrastructure. He often takes an economic history lens to make sense of liquidity issues. A well discussed paper on this includes "The Failure of a Clearinghouse: Empirical Evidence" (Review of Finance, February 2020) where Guillaume studies the failure of a derivatives central clearing counterparty (CCP) on sugar in Paris in 1974. The incidence has been made famous by the 1978 French crime comedy film "The Sugar" with et al. actors Gerard Depardieu and Jean Carmet.

Mitigating Fire Sales with a Central Clearing Counterparty
Theoretically, one rationale for central clearing counterparties is the mitigation of inefficiencies associated with distressed asset sales. With novel archival data, I empirically study the first event in economic history during which a CCP successfully played this role: the global wool crisis of 1900. In the leading wool futures market in France, an inefficient equilibrium with fire sales and cascading defaults could be avoided due to price support provided by surviving CCP members. Cooperation to achieve price support – which is nowadays the main element of CCP auctions – could arise due to family relationships and cultural proximity between traders. Discussants will be Robert Steigerwald (Senior Policy Advisor, Chicago Fed) and Alexander Soreff (PhD and Head of Default Management Trading, Eurex)

FYI, we are organizing an upcoming two-day in person event Wed. 21. & Thu. 22. Jun. 2023 in Frankfurt at Goethe University and at the European Central Bank respectively. Deadline for application will be 30. Apr. 2023, comfortably after the end of this one-day intro series. More information about the upcoming in person event and how to apply, please see below.

More information
https://ysi.wisdmlabs.net/project/640874043d9a991b5e5fb87b/event/6408830b3d9a991b5e5fc0fd

Apply here
https://fs8.formsite.com/CNZLjX/1tgciley2z/index