How safe are central counterparties in derivatives markets?

We propose a general framework for estimating the vulnerability to default by a central counterparty (CCP) in derivatives markets. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand nonpayment by its two largest counterparties, we study the direct and ind...

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Bibliographic Details
Main Authors: Young, H, Paddrik, M
Format: Working paper
Published: University of Oxford 2017