. Such a loss can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member … show in particular that a clearing member's CCP risk is given by a sum of exposures to each of the other clearing members … collateral. We provide a model to calculate the exposures by specifying the parameterized loss distributions of the individual …

counterparties (CCPs). Building on the stylised fact that clearing membership is shared among CCPs, we show that stress in this …'' standard requiring CCPs to be able to withstand the default of their two largest clearing members. We show that who these two … clearing members are can be significantly affected by higher-order effects arising from interconnectedness through shared …

clearing (BC) and central counterparty (CCP) clearing of OTC derivatives. I show how CCP mutualizes individual counterparty … that CCP may improve efficiency. I also apply the model to produce different levels of equilibrium collateral requirement …

default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the clearing mechanism …, we show that introducing a central clearing counterparty achieves the efficient equilibrium at no additional cost. …

clearing mechanism introduced in the seminal contribution of Eisenberg and Noe (2001). We first show the existence of a Nash …

clearing mechanism introduced in the seminal contribution of Eisenberg and Noe (2001). We first show the existence of a Nash …

central clearing counterparty (CCP). Finally, we show how to mitigate procyclicality of initial margins using a three …

, the availability of high quality collateral suitable for encumbrance, capital and sovereign funding conditions. Third, we …

Central clearing counterparties (CCPs) were created to reduce default losses for market participants in derivatives …