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Loss absorption capacity of central counterparties. Evidence from EU-authorised CCPs – part II

Weronika Rec ()
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Weronika Rec: Warsaw School of Economics, Collegium of Management and Finance

Bank i Kredyt, 2019, vol. 50, issue 5, 429-456

Abstract: The aim of this study was to investigate loss absorption capacity of central counterparties. The qualitative and quantitative analysis was based on PQD data provided by 15 EU-authorised CCPs for Q4 2015–Q4 2017. Certain indicators were proposed in order to delineate the empirical structure of CCPs’ default waterfalls and to assess the viability and stability of CCPs. The main conclusion of the analysis is that in order to incentivise clearing participants as much as possible towards prudent risk management, the structure of default waterfall should be modified.

Keywords: CCP; central clearing; default waterfall; financial stability; liquidity risk (search for similar items in EconPapers)
JEL-codes: G01 G15 G18 G23 L14 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:nbp:nbpbik:v:50:y:2019:i:5:p:429-456