One bad apple: default risk at CCPs

One clearing member's disproportionately large position increases the credit risk for all CCP members

CLICK HERE TO VIEW THE PDF

Leif Andersen and Andrew Dickinson present a model to quantify the credit risks associated with membership of a central clearing counterparty (CCP) that allows its members to clear outsized house positions. In a result that has significant implications for CCP credit exposure management, they conclude that the risks contributed by a single highly levered member may dominate those of all the other members combined

The significant mutualised default loss at the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here