منابع مشابه
Credit Valuation Adjustment
Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the cred...
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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...
متن کاملFunctional Definition of a Central Counterparty Clearing House (CCP)
The current regulatory environment is changing with regard to security settlement systems and central counterparty services. Various initiatives are addressing these changes, e.g. CESR/ESCB, Giovannini, CPSS/IOSCO, ISD, G30 and the European Commission’s Communication on Clearing and Settlement. In this paper, we do not want to resolve or comment on any of these issues, but believe it is of the ...
متن کاملAccess to Central Clearing Services for Over-the-Counter Derivatives
BanK oF canaDa FinanciaL SYStem reVieW JUne 2011 Broad access to central clearing will be necessary to fully realize the expected benefits of systemic-risk reduction from the increased use of ccPs . the evolving configuration of access to ccPs may, however, have unintended consequences for the structure of the global otc derivatives market . as the use of ccPs is mandated or strongly encouraged...
متن کاملDoes 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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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2017
ISSN: 1945-497X
DOI: 10.1137/15m1028170