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A tőzsdei elszámolóházak vesztesége
[The loss from central clearing houses]

Author

Listed:
  • Berlinger, Edina
  • Váradi, Kata
  • Dömötör, Barbara
  • Illés, Ferenc

Abstract

A válságot követő új szabályozás a tőzsdén kívüli piacokon is egyre inkább megköveteli a kereskedés központi elszámolását, ezért rendszerkockázati szempontból kiemelt kérdés a tőzsdei elszámolóházak kockázatkezelése és azon belül a veszteségek vizsgálata. Ebben a cikkben az elszámolóházak általános működését modellezzük, majd az amerikai határidős részvénypiac elmúlt nyolcévi adatai alapján szimuláljuk az alapletét elégtelenségéből adódó veszteségeket. Végül megvizsgáljuk az elszámolóház veszteségei és egyes külső stressztényezők, például egy amerikai általános stresszindex (CFSI) komponensei közötti kapcsolatot. Fő megállapításunk, hogy egy általános stresszindex kevésbé alkalmas az el szá moló ház veszteségeinek előrejelzésére, mint egy saját fejlesztésű, testre szabott modell, aminek fő oka az lehet, hogy az elszámolóházak számos speciális tulajdonsággal - magas fokú specializáció, szimmetrikus kitettségek, letéti számlák útvonalfüggősége stb. - rendelkeznek. Journal of Economic Literature (JEL) kód: G15; G23; G28

Suggested Citation

  • Berlinger, Edina & Váradi, Kata & Dömötör, Barbara & Illés, Ferenc, 2016. "A tőzsdei elszámolóházak vesztesége [The loss from central clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 993-1010.
    • Handle: RePEc:ksa:szemle:1652
    DOI: 10.18414/KSZ.2016.9.993
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    References listed on IDEAS

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    Cited by:

    1. Váradi, Kata & Ladoniczki, Sára Kata, 2018. "Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana [Numerical methodology in the basic insurance requirements of clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 780-809.
    2. Marcell Béli & Kata Váradi, 2017. "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 16(2), pages 119-147.

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    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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