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...
| المؤلفون الرئيسيون: | , |
|---|---|
| التنسيق: | Working paper |
| منشور في: |
University of Oxford
2017
|