Capital Requirements for Over-The-Counter Derivatives Central Counterparties ePub (Adobe DRM) download by Li Lin

Capital Requirements for Over-The-Counter Derivatives Central Counterparties

By Li Lin and Jay Surti

INTERNATIONAL MONETARY FUND
Publication date: January 2013
ISBN: 9781475564983
Digital Book format: ePub (Adobe DRM)

Buy ePub

List price:
$9.00
Our price:
$6.99

You save: $2.01 (22%)
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.
Please sign in to review this product.
Devices:
Capital Requirements for Over-the-Counter Derivatives Central Counterparties ePub (Adobe DRM) can be read on any device that can open ePub (Adobe DRM) files.

File Size:
1739 Kb
Language:
ENG
Copy From Text:
Disabled.
Printing:
Disabled.