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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| 格式: | Working paper |
| 出版: |
University of Oxford
2017
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