BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Rec Weronika (Warsaw School of Economics)
Title
Loss Absorption Capacity of Central Counterparties : Evidence from EU-Authorised CCPs - Part 1
Source
Bank i Kredyt, 2019, nr 4, s. 329-346, rys., bibliogr. 50 poz.
Bank & Credit
Keyword
Stabilność finansowa, Płynność finansowa, Ryzyko, Zarządzanie ryzykiem, Wyniki badań
Financial sustainability, Financial liquidity, Risk, Risk management, Research results
Note
JEL Classification: G01, G15, G18, G23, L14
summ.
Abstract
The aim of this study was to investigate loss absorption capacity of central counterparties.The qualitative and quantitative analysis was based on PQD data provided by 15 EU-authorised CCPs for Q4 2015-Q4 2017. Certain indicators were proposed in order to delineate the empirical structure of CCPs' default waterfalls and to assess the viability and stability of CCPs. The main conclusion of the analysis is that in order to incentivise clearing participants as much as possible towards prudent risk management, the structure of default waterfall should be modified. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Full text
Show
Bibliography
Show
  1. Alfranseder E., Fiedor P., Lapschies S., Orszaghova L., Sobolewski P (2018), Indicators for the monitoring of central counterparties in the EU, Occasional Paper Series, 14, March, European Systemic Risk Board.
  2. Armakolla A., Bianchi B. (2017), The European central counterparty (CCP) ecosystem, May, Bank for International Settlements, Irving Fisher Committee on Central Bank Statistics.
  3. Bellia M., Panzica R., Pelizzon L., Peltonen T. (2017), The demand for central clearing: to clear or not to clear, that is the question, Working Paper Series, 62, December, European Systemic Risk Board.
  4. BIS (2014), Regulatory reform of over-the-counter derivatives: an assessment of incentives to clear centrally, October, Bank for International Settlements.
  5. BCBS-IOSCO (2015), Margin requirements for non-centrally cleared derivatives, March, Basel Committee on Banking Supervision, International Organization of Securities Commissions.
  6. Carter L., Garner M. (2015), Skin in the game - central counterparty risk controls and incentives, Quarter Bulletin, June, Reserve Bank of Australia.
  7. Cerezetti F., Karimalis E., Shreyas U., Sumawong A. (2017), Market liquidity, closeout procedures and initial margin for CCPs, Staff Working Paper, 643, February, Bank of England.
  8. Cont R. (2015), The end of waterfall: default resources of central counterparties, Journal of Risk Management in Financial Institutions, 8(4), 365-389.
  9. Cont R. (2017), Central clearing and risk transformation, Norges Bank Research Working Paper, 3.
  10. Cox R.T., Steigerwald R.S. (2017), A CCP is a CCP is a CCP, Policy Discussion Paper, 1, Federal Reserve Bank of Chicago.
  11. CPMI, IOSCO (2015), Public quantitative disclosure standards for central counterparties, Febr ua r y, Committee on Payments and Market Infrastructures, International Organization of Securities Commissions.
  12. CPSS, IOSCO (2012), Principles for financial market infrastructures, April, Committee on Payment and Settlement Systems, International Organization of Securities Commissions.
  13. Cruz Lopez J., Manning M. (2017), Who pays? CCP resource provision in the post-Pittsburgh world, 17, Bank of Canada Staff Discussion Paper, December, Bank of Canada.
  14. de Larosière J. (ed.) (2009), Report of the High-Level Group on Financial Supervision in the EU, February.
  15. Duffie D. (2014), Resolution for failing central counterparties, Stanford University Working Paper, 3256, December.
  16. Duffie D., Zhu H. (2011), Does a central clearing counterparty reduce counterparty risk?, Review of Asset Pricing Studies, 1, 74-95.
  17. Elliot D. (2013), Central counterparty loss-allocation rules, Financial Stability Paper, 20, April, Bank of England.
  18. ESMA (2013), Final report - Guidelines and recommendations for establishing consistent, efficient and effective assessments of interoperability arrangements, 10 June, European Securities and Markets Authority.
  19. ESMA (2016a), Final report. Possible systemic risk and cost implications of interoperability arrangements, European Securities and Markets Authority.
  20. ESMA (2016b), Report on EU-wide CCP stress test 2015, European Securities and Markets Authority.
  21. ESMA (2018), Report on EU-wide CCP stress test 2017, European Securities and Markets Authority.
  22. ESRB (2016), ESRB Report to the European Commission on the systemic risk implications of CCP interoperability arrangements, European Systemic Risk Board.
  23. France V.G., Kahn C.M. (2016), Law as constraint on bailouts: emergency support for central counterparties, Journal of Financial Intermediation, 28, 22-31.
  24. FSB, CPMI, IOSCO, BCBS (2018), Analysis of central counterparties interdependencies, August, Financial Stability Board, Committee on Payments and Market Infrastructures, International Organization of Securities Commission, Basel Committee on Banking Supervision.
  25. G20 (2009), Leaders statement: the Pittsburgh summit, 24-25 September, http://www.g20.utoronto. ca/2009/2009communique0925.html.
  26. Ghamami S., Glasserman P. (2017), Does OTC derivatives reform incentivize central clearing?, Journal of Financial Intermediation, 32, 76-87.
  27. Głogowski A. (2012), Rola instrumentów pochodnych w kryzysie światowego system finansowego lat 2007-2009. Wybrane zagadnienia, in: W. Przybylska-Kapuścińska (ed.), Instrumenty pochodne w globalnej gospodarce, Narodowy Bank Polski.
  28. Gregory J. (2014), Central Counterparties. Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives, Wiley.
  29. Heath A., Kelly G., Manning M., Markose S., Shagaghi A.R. (2016), CCPs and network in OTC derivatives markets, Journal of Financial Stability, 27, 217-233.
  30. Heller D., Vause N. (2012), Collateral requirements for mandatory central clearing of over-the-counter derivatives, Working Paper, 373, March, Bank for International Settlements.
  31. Houllier M., Murphy D. (2017), Initial margin model sensitivity analysis and volatility estimation, Journal of Financial Market Infrastructures, 5(4), 77-103.
  32. Hull J. (2012), CCPS: their risks, and how they can be reduced, Journal of Derivatives, 20(1), 26-29.
  33. Koeppl T.V., Monnet C. (2013), Compensation par contrepartie centrale et assurance contre le risque systémique sur les marchés dérivés de gré à gré, Revue d'économie financière, 1(109), 179-196.
  34. Kroszner R.S. (2006), Central counterparty clearing: history, innovation and regulation, https://www. federalreserve.gov/newsevents/speech/kroszner20060403a.htm.
  35. Lin L., Surti J. (2015), Capital requirements for over-the-counter derivatives central counterparties, Journal of Banking and Finance, 52, 140-155.
  36. Manning M., Hughes D. (2016), Central counterparties and banks: Vive la difference, Journal of Financial Market Infrastructures, 4(3), 1-24.
  37. Moloney N. (2014), EU Securities and Financial Market Regulation, Oxford University Press.
  38. Murphy D. (2017), I've got you under my skin: large central counterparty financial resources and the incentives they create, Journal of Financial Market Infrastructures, 5(3), 57-74.
  39. Murphy D., Nahai-Williamson P. (2014), Dear Prudence, won't your come out to play? Approaches to the analysis of central counterparty default fund adequacy, Financial Stability Paper, 30, October, Bank of England.
  40. Mülbert O. (2015), Managing risk in financial system, in: N. Moloney, E. Ferran, J. Payne (eds.), The Oxford Handbook of Financial Regulation, Oxford University Press.
  41. Nahai-Williamson P., Ota T., Vital M., Wetherilt A. (2013), Counterparties and their financial resources - a numerical approach, Financial Stability Paper, 19, April, Bank of England.
  42. NBP (2013), Raport o stabilności system finansowego. Grudzień 2013, Narodowy Bank Polski.
  43. Nixon D., Rehlon A. (2013), Central counterparties: What are they, why do they matter and how does the Bank supervise them?, Quarterly Bulletin, Q2, Bank of England.
  44. Pirrong C. (2011), The economics of central clearing: theory and practice, ISDA Discussion Paper Series, 1.
  45. Priem R. (2018), CCP recovery and resolution: preventing a financial catastrophe, Journal of Financial Regulation and Compliance, 26(3), 351-364.
  46. Singh M. (2010), Collateral, netting and systemic risk in the OTC derivatves market, Working Paper, 10/99, April, IMF.
  47. Singh M. (2011), Making OTC derivatives safe: a fresh look, Working Paper, 11/66, March, IMF.
  48. Singh M., Turring D. (2018), Central counterparties resolution - an unresolved problem, Working Paper, No. 18/65, March, IMF.
  49. Smaga P. (2014), The concept of systemic risk, Systemic Risk Centre Special Paper, 5, August, The London School of Economics and Political Science.
  50. Wendt F. (2015), Central counterparties: addressing their too important to fail nature, Working Paper, 15/21, February, IMF.
Cited by
Show
ISSN
0137-5520
Language
eng
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu