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Capital Requirements for Over-The-Counter Derivatives Central Counterparties

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Description: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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Capital Requirements for Over-The-Counter Derivatives Central Counterparties. To get started finding Capital Requirements for Over-The-Counter Derivatives Central Counterparties, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 47

Format: PDF, EPUB & Kindle Edition

Publisher: International Monetary Fund

Release: 2013

ISBN: 1475564988

Description: 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Capital Requirements for Over-The-Counter Derivatives Central Counterparties. To get started finding Capital Requirements for Over-The-Counter Derivatives Central Counterparties, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Capital Requirements for Over-The-Counter Derivatives Central Counterparties

Capital Requirements for Over-The-Counter Derivatives Central Counterparties

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