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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Banking
7 days in 60 seconds
Covid liquidity, block trades and Fed op risk
The week on Risk.net, August 1-7, 2020
Receive this by email