A 38. ECMS konferencia (ECMS International Conference on Modelling and Simulation) 2024. június 4–7 között zajlott Krakkóban, Lengyelország történelmi városában. Az évente megrendezésre kerülő konferencia interdiszciplináris jellegű, melynek pénzügyi, közgazdaság- és...

The 38th ECMS conference (ECMS International Conference on Modelling and Simulation) took place between June 4th and 7th, 2024, in Krakow, a historic city in Poland. This annual conference is interdisciplinary in nature, with the Finance, Economics, and Social Sciences (FES) section being hosted...

Through their clearing and settlement activity, central counterparties (CCP) ensure the stability of the financial system. They operate a multilevel guarantee system containing the initial margin requirements, the default fund contributions, and their own contribution, referred to as...

We demonstrate that margin requirements of central counterparties show a significantly different behavior when calculated with a portfoliowise treatment instead of taking the weighted sum of the margin requirements of the components without accounting for their correlation structures. This is...

A klíringházak és a központi szerződő felek a pénzügyi piacok egyik fontos pillérévé váltak, megkönynyítették ugyanis az értékpapírral és a származtatott ügyletekkel való kereskedést a tőzsdéken és a tőzsdén kívüli piacokon azáltal, hogy a vevő és az eladó...

Clearinghouses and central counterparties have become the backbone of financial markets by stepping between trades, facilitating securities trading, and derivative transactions on exchanges and overthe-counter markets. In the literature and in practice, too, the notion of clearinghouse and...

Central counterparties' (CCPs) role is to take over the counterparty risk during trading. To fulfill its role, a CCP needs to operate a multi-level guarantee system that can absorb losses of clearing members' defaults. Our main question is how the size of the guarantee system changes and how the...

Central counterparties' (CCPs) role is to take over the counterparty risk during trading. To fulfill its role, a CCP needs to operate a multi-level guarantee system that can absorb losses of clearing members' defaults. Our main question is how the size of the guarantee system changes and how the...