The Leading eBooks Store Online 4,272,009 members ⚫ 1,419,367 ebooks

New to eBooks.com?

Learn more

Capital Requirements for Over-the-Counter Derivatives Central Counterparties

Capital Requirements for Over-the-Counter Derivatives Central Counterparties by Li Lin
Buy this eBook
US$ 9.00
(If any tax is payable it will be calculated and shown at checkout.)
The central counterparties dominating the market for the clearing of over-the-counter interest rate and credit derivatives are globally systemic. Employing methodologies similar to the calculation of banks' capital requirements against trading book exposures, this paper assesses the sensitivity of central counterparties' required risk buffers, or capital requirements, to a range of model inputs. We find them to be highly sensitive to whether key model parameters are calibrated on a point-in-time versus stress-period basis, whether the risk tolerance metric adequately captures tail events, and the ability—or lack thereof—to define exposures on the basis of netting sets spanning multiple risk factors. Our results suggest that there are considerable benefits from having prudential authorities adopt a more prescriptive approach to for central counterparties' risk buffers, in line with recent enhancements to the capital regime for banks.
International Monetary Fund; January 2013
47 pages; ISBN 9781475564983
Read online, or download in secure EPUB or secure PDF format
Title: Capital Requirements for Over-the-Counter Derivatives Central Counterparties
Author: Li Lin; Jay Surti
 
ISBNs
1475564988
9781475535501
9781475564983
9781475571776