Given a network of client-clearer relationships, we define central clearing as a function transforming bilateral …

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 …

counterparty (CCP) clearing. Clearing secures the settlement of obligations from over-the-counter (OTC) forward contracts that … smooth the income of risk-averse agents. Clearing requires collateral to guarantee settlement; this is costly, as it reduces …In this working paper, we study the three generic clearing arrangements in the presence of two-sided limited commitment …

, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring …

, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring …