Central counterparty CVA

Matthias Arnsdorf
03 Apr 2019

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO VIEW THE PDF

Matthias Arnsdorf explores how to quantify the loss a financial institution can expect due to central counterparty (CCP) membership. This expected loss can be interpreted as a CCP counterparty valuation adjustment. The results are applied to the calculation of losses in stress scenarios as specified, for example, by the Comprehensive Capital Analysis and Review regulatory framework. The author shows that a typical stressed expected loss ranges between 10bp and 40bp of

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.

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]

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]

﻿Central counterparty CVA

Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership

To continue reading...

Sign In

Start a Risk.net Trial

You are currently on corporate access.

Central counterparty CVA