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 … central counterparties’ risk buffers, in line with recent enhancements to the capital regime for banks. …

risk capital stipulated by the Basel Committee on Banking Supervision, the out‐of‐sample VaRs are at least equal to actual … to ensure that financial firms have sufficient capital for the types of risks they take. Determining the right amount of … capital requires these firms to first estimate their worst case loss, which is the value‐at‐risk. The approach to the …

The CLASS model is a top-down capital stress testing framework that projects the effect of different macroeconomic … industry capital gap relative to a target ratio at different points in time under a common stressful macroeconomic scenario …. This estimated capital gap began rising four years before the financial crisis and peaked at the end of 2008. The gap has …