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The pitfalls of central clearing in the presence of systematic risk

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018

Through the lens of market participants' objective to minimize counterparty risk, we provide an explanation for the … of the benefits and potential pitfalls with respect to a single market participant's counterparty risk exposure when … elements can render central clearing harmful for a market participant's counterparty risk exposure regardless of the number of …

Persistent link: https://www.econbiz.de/10011923506

Weighted risk capital allocations in the presence of systematic risk

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Systemic risk and optimal fee for central clearing counterparty under partial netting

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Evaluating the accuracy of tail risk forecasts for systemic risk measurement

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The pitfalls of central clearing in the presence of systematic risk

Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018 - This version: November 2018

Persistent link: https://www.econbiz.de/10011932176

RiskRank: measuring interconnected risk

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The statistical combination procedure in measures for risk in financial systems

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Tail risk under price limits

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