Technical paper/Emir
Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event
This paper analyzes the effectiveness of APC measures implemented by central counterparties for clearing member and client margins, with effectiveness sensitive to the details of calibration and type of portfolios to which the measure is applied.
The centrally cleared interest rate derivatives market: how are clients changing the risk perspective?
This paper analyzes counterparty relationships within both direct (house) and client clearing in the interest rate derivatives market in the European Union.
Skin in the game
This paper analyzes the cost of putting aside capital as skin in the game (SITG).
Central counterparties and systemic stability
The paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
Extremely (un)likely: a plausibility approach to stress testing
CCP’s risk managers propose a framework for generating extreme but plausible stress scenarios