The Microstructure Exchange is a virtual academic market microstructure research seminar of indefinite length, intended to continue the sharing of ideas between researchers.

Speakers will be invited to present their work over Zoom. Seminars will last 45 minutes with questions asked at designated break points during the talk and a 15 minute Q&A session at the end of the session that will be organized by a moderator.

Upcoming talk

Vincent Maurin (Stockholm School of Economics)
The Design of a Central Clearing Counterparty
with John Kuong (INSEAD)
May 25th, 11 am (EDT)
Paper link

Abstract: This paper studies the benefits of central clearing and the design of a central counterparty (CCP) with an optimal contracting approach. Investors sign contracts to hedge an underlying exposure. There is counterparty risk because investors can default on the contract due to idiosyncratic shocks and moral hazard. Mutualization of losses can thus hedge against counterparty risk but demands collateral for preventing moral hazard. The optimal contract involves loss mutualization, which requires central clearing, only when the cost of collateral is intermediate. Furthermore, as loss mutualization dilutes investors’ incentives to monitor their counterparties, a third-party CCP can emerge as a centralized monitor and is given a first-loss, equity tranche as incentive compensation. Our results endogenize key features of the default resolution process, known as “default waterfall”, in a CCP. Finally, we show that larger user base of acontract favors central clearing (over bilateral trading) and clearing with third-party CCP (over member-owned CCP).


Seminars will take place on Tuesdays. Times may vary to accomodate a broader global audience and to meet the speaker’s schedule.

The calendar is available as a Google calendar or in iCal format.


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Organizing committee


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Past talks


The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact to add your resource to this section.