How Safe are Central Counterparties in Derivatives Markets
Social Science Research Network, 2017.
Abstract:
Abstract We propose a general framework for estimating the likelihood of default by central counterparties (CCP) in derivatives markets. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand nonpayment by its two largest counterparties, we study the direct and indirect effects of nonpayment by mem...More
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