In total, 55 margin breaches reported at end-September 2018
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
High yield borrowers relying on a steady stream of leveraged loan issuance that could quickly run dry
Structures are more solid, but loans are dicier, and recovery rates may be disintegrating
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions
Second quarter saw the second-largest quarterly increase since the CCP began reporting in 2015
Regulators and exchanges need to learn from the Greenhat/PJM and Norwegian Nasdaq defaults
New smoothing technique claims to overcome flaws in risk rating scales
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Probabilities of default fall on average across 39 countries
Further changes expected following September clearing fund revamp
Tax package is double-edged sword for US states, but credit has strengthened over past year
Levy adds millions to dealers' expenses
In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Barclays, BNP Paribas and others are analysing risk of climate change-related losses
Existing data could inform greater number of stress scenarios and create system-wide test
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
CCPs and clearing members both unhappy with proposed allocation of non-default losses
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
This paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Market participants say CME, CBOE should clear bitcoin futures separately