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Risk mutualization in central clearing: An answer to the cross-guarantee phenomenon from the financial stability viewpoint
Friesz, Melinda; Muratov-Szabó, Kira; Prepuk, Andrea; … - In: Risks 9 (2021) 8, pp. 1-19
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...
Persistent link: https://www.econbiz.de/10013200812
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Risk mutualization in central clearing : an answer to the cross-guarantee phenomenon from the financial stability viewpoint
Friesz, Melinda; Muratov-Szabó, Kira; Prepuk, Andrea; … - In: Risks : open access journal 9 (2021) 8, pp. 1-19
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...
Persistent link: https://www.econbiz.de/10012612395
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Margin requirements based on a stochastic correlation model
Szabó, Dávid Zoltán; Váradi, Kata - In: The journal of futures markets 42 (2022) 10, pp. 1797-1820
Persistent link: https://www.econbiz.de/10013465821