Systemic risks in CCP networks

Russell Barker, Andrew Dickinson, Alex Lipton, Rajeev Virmani
05 Jan 2017

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Russell Barker, Andrew Dickinson, Alex Lipton and Rajeev Virmani propose a model for the credit and liquidity risks faced by clearing members of central counterparty clearing houses (CCPs). By considering the entire network of CCPs and clearing members, they investigate the distribution of losses to default fund contributions and contingent liquidity requirements for each clearing member

Since the financial crisis of 2007–10, the number of trades and the range of

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