The distribution of clearing members’ risk exposure and how it matters

Olga Lewandowska and Edgar Mai

Journal of Financial Market Infrastructures

Abstract: Since 2015, central counterparties (CCPs) have published their Committee on Payments and Market Infrastructures–International Organization of Securities Commissions (CPMI–IOSCO) quantitative disclosures, providing insights into the risk concentrations within their member bases. The distribution of clearing members’ risk exposure has a major impact on the effectiveness of risk management in the CCP, including on default fund practices. This paper sheds light on the consequences of risk distribution within a member base and the adequacy of the cover 2 principle. In addition to CPMI–IOSCO disclosures from three CCPs, we utilize a novel data set that contains comprehensive information about historical margins in a leading clearing house.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-financial-market-i ... e-and-how-it-matters (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ7:6171416

Access Statistics for this article

More articles in Journal of Financial Market Infrastructures from Journal of Financial Market Infrastructures
Bibliographic data for series maintained by Thomas Paine ().