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Systemic Risks in CCP Networks

We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market volatility and margining requirements; the different risks faced by various types of market participant and the changes in margining requirements a clearing member faces as the system evolves. By considering the entire network of CCPs and clearing members, we investigate the distribution of losses to default fund contributions and contingent liquidity requirements for each clearing member; further, we identify wrong-way risks between defaults of clearing members and market turbulence.

preprint2016arXivOpen access
Russell BarkerAndrew DickinsonAlex LiptonRajeev Virmani
q-fin.RMq-fin.MF
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Open access4 authors2 topics
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Russell BarkerAndrew DickinsonAlex LiptonRajeev Virmani

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