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OverviewThe central counterparties dominating the market for the clearing of over-the-counter interest rate and credit derivatives are globally systemic. Employing methodologies similar to the calculation of banks capital requirements against trading book exposures, this paper assesses the sensitivity of central counterparties required risk buffers, or capital requirements, to a range of model inputs. We find them to be highly sensitive to whether key model parameters are calibrated on a point-in-time versus stress-period basis, whether the risk tolerance metric adequately captures tail events, and the ability or lack thereof to define exposures on the basis of netting sets spanning multiple risk factors. Our results suggest that there are considerable benefits from having prudential authorities adopt a more prescriptive approach to for central counterparties risk buffers, in line with recent enhancements to the capital regime for banks. Full Product DetailsAuthor: Li Lin , Jay SurtiPublisher: International Monetary Fund Imprint: International Monetary Fund ISBN: 9781299264007ISBN 10: 129926400 Pages: 48 Publication Date: 01 January 2013 Audience: General/trade , General Format: Electronic book text Publisher's Status: Active Availability: In stock We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |