منابع مشابه
Does Central Clearing Reduce Counterparty Risk in Realistic Financial Networks?
Novating a single asset class to a central counterparty (CCP) in an over-the-counter derivatives trading network impacts both the mean and variance of total net exposures between counterparties. When a small number of dealers trade in a relatively large number of asset classes, central clearing increases the mean and variance of net exposures, which may lead to increased counterparty risk and h...
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We show whether central clearing of a particular class of derivatives lowers counterparty risk. For plausible cases, adding a central clearing counterparty (CCP) for a class of derivatives such as credit default swaps reduces netting efficiency, leading to an increase in average exposure to counterparty default. Further, clearing different classes of derivatives in separate CCPs always increase...
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In order to clear a new product or market, the key factor a CCP must consider is its ability to manage the risks the product or market presents including the risk of default. This would normally require: the CCP has access to accurate pricing and valuation data; a degree of contract standardisation; and sufficiently deep liquidity in the market (or in sufficiently close hedges) to facilitate de...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2955647