CCPs urged to implement liquidity risk charge

Quant Congress USA: liquidity charge might have exposed London Whale, academic claims

marco-avellaneda
Marco Avellaneda, New York University

Clearing houses should introduce an explicit charge to reflect the real-world cost of liquidating a defaulting clearing member's portfolio, a leading academic has asserted.

Marco Avellaneda, professor of mathematics at the Courant Institute of Mathematical Sciences at New York University, claimed central counterparties (CCPs) are not collecting enough margin and default fund contributions from members to cover liquidity risk in a so-called 'cover 2' event, in which the two largest members of a

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