How Safe are Central Counterparties in Derivatives Markets

Social Science Research Network, 2017.

Cited by: 1|Bibtex|Views5|DOI:https://doi.org/10.2139/ssrn.3067589
Other Links: academic.microsoft.com

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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