Loss Absorption Capacity of Central Counterparties : Evidence from EU-authorised CCPs - Part 2

• Autorzy: Weronika Rec
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Financial sustainability; Risk management; Quantitative analysis; Qualitative analysis; Research results

PL

Stabilność finansowa; Zarządzanie ryzykiem; Analiza ilościowa; Analiza jakościowa; Wyniki badań

• Czasopismo: Bank i Kredyt
• Rocznik: 2019
• Numer: nr 5
• Strony: 429--456

Twórcy

autor

Weronika Rec

• Warsaw School of Economics

Bibliografia

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• 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.
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• 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.