Technical paper/Default funds
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
What do central counterparty default funds really cover? A network-based stress test answer
The distribution of clearing members’ risk exposure and how it matters
In this paper, the authors compare the data from three major clearing houses concerning tail losses and member concentration.
One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-game
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member…
