Empirical analysis of collateral at central counterparties
N. Aaron Pancost and
No 131, ESRB Working Paper Series from European Systemic Risk Board
This paper studies the risk management of central counterparties (CCPs) using a granular transaction-level dataset. We test whether margining practices are sufﬁcient relative to portfolio risk and whether CCPs reduce margin requirements in a ‟race-to-the-bottom.” We ﬁnd that, for some CCPs, margin breaches are predictable ex ante, but the portfolios of more interconnected clearing members are associated with higher margin holdings. While margin requirements increased signiﬁcantly around the onset of the Covid-19 pandemic, controlling for portfolio and macro-ﬁnancial variables, margin breaches did not. Our results indicate that changes in margins should be analyzed alongside margin breaches. JEL Classification: G23, G21, G15
Keywords: CCP; initial margin; risk management; variation margin (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:2021131
Access Statistics for this paper
More papers in ESRB Working Paper Series from European Systemic Risk Board 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().