Loss Absorption Capacity of Central Counterparties : Evidence from EU-authorised CCPs - Part 2
The aim of this study was to investigate loss absorption capacity of central counterparties. The qualitative and quantitative analysis was based on PQD data provided by 15 EU-authorised CCPs for Q4 2015-Q4 2017. Certain indicators were proposed in order to delineate the empirical structure of CCPs' default waterfalls and to assess the viability and stability of CCPs. The main conclusion of the analysis is that in order to incentivise clearing participants as much as possible towards prudent risk management, the structure of default waterfall should be modified. (original abstract)
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