Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
CLICK HERE TO VIEW THE PDF
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
More on Banking
Most read on Risk.net
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Quant Finance Master’s Guide 2019
- Princeton tops inaugural Risk.net quant master’s ranking
- Credit risk quants are hitting the tech gap
- Does credit risk need an expected shortfall-style revamp?
Back to Top