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Tytuł artykułu
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Warianty tytułu
Języki publikacji
Abstrakty
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)
Twórcy
autor
- Warsaw School of Economics
Bibliografia
- Alfranseder E., Fiedor P., Lapschies S., Orszaghova L., Sobolewski P. (2018), Indicators for the monitoring of central counterparties in the EU, Occasional Paper Series, 14, March, European Systemic Risk Board.
- CPSS, IOSCO (2012), Principles for financial market infrastructures, April, Committee on Payment and Settlement Systems, International Organization of Securities Commissions.
- CPMI, IOSCO (2015), Public quantitative disclosure standards for central counterparties, February, Committee on Payments and Market Infrastructures, International Organization of Securities Commissions.
- ESMA (2016a), Final report. Possible systemic risk and cost implications of interoperability arrangements, 1 March, European Securities and Markets Authority.
- ESMA (2016b), Report on EU-wide CCP stress test 2015, 26 April, European Securities and Markets Authority.
- ESMA (2018), Report on EU-wide CCP stress test 2017, 2 February, European Securities and Markets Authority.
- Lin L., Surti J. (2015), Capital requirements for over-the-counter derivatives central counterparties, Journal of Banking and Finance, 52, 140-155.
- Murphy D. (2017), I've got you under my skin: large central counterparty financial resources and the incentives they create, Journal of Financial Market Infrastructures, 5(3), 57-74.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171571847