This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
New FSB analysis reveals interdependencies of clearing system
Fragmentation of market-based finance could raise costs and risk for EU and UK companies
Powell implies support for practice that saved UBS $300m in capital
CCP clamps down on bond-for-cash switches driven by reporting and quarter-end repo spikes
Brexit heightens concern over importance of central counterparties
CFTC hearing warns of increased margining costs and a pre-Brexit client onboarding crunch
Clearing house to hike CDS index trade fees from July after Ice’s determinations committee takeover
Some firms may stop clearing US Treasury trades if the CCLF is implemented
Proposals give central bank and regulator the power to bar biggest third-country CCPs
Eurex set to challenge LCH estimates of clearing relocation costs
CCP members must offer new arrangements for exchange-traded derivatives in January 2018
Project will allow buy-side firms to access CCP through sponsor banks in coming months
Market participants unsure who will report client-side leg of exchange-traded derivatives trades to CCPs
Isda AGM: New analysis – due next month – looks at clearing network risks
European Commission proposal would shine light on clearing house margin charges
Isda AGM: CFTC’s Giancarlo says geography has been no barrier for EU CCPs in the US
Isda AGM: netting of clearing collateral would boost activity without weakening banks, claims CFTC chair
Energy Risk Awards 2017: Nodal's clearing services set standard
Isda AGM: location policy would result in higher margin costs, lower liquidity, says Maguire
Isda AGM: regulator and industry emphasise need for effective clearing house supervision