This paper measures central counterparty (CCP) clearing-network risk as the probability that the maximum cleared … exposure of a CCP to an individual clearing member is atypically large. Our analytical derivation of this probability uses the … and concentration) of the clearing network. We also derive and compute a CCP's Maximum-Exposure-at-Risk and relate it to …

Repo markets offering central counterparty (CCP) clearing and anonymized trading were remarkably resilient during the …

We examine the effects on a financial network of multilateral clearing via a central clearing counterparty (CCP) from … an ex ante and ex post perspective. The CCP is capitalized with equity and a guarantee fund and it can charge a volume …-based fee. We propose a CCP design which improves aggregate surplus, and reduces banks' liquidation and shortfall losses. We …

Recent regulation, mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has … CCP initiated by the default of a large dealer bank and the unwinding of its positions. The theoretical model examines … relative distance to defaulted assets. Key results show that liquidation lowers CCP profits, and how predation decreases the …