IDEAS home Printed from https://ideas.repec.org/a/nbp/nbpbik/v50y2019i5p429-456.html
   My bibliography  Save this article

Loss absorption capacity of central counterparties. Evidence from EU-authorised CCPs – part II

Author

Listed:
  • Weronika Rec

    (Warsaw School of Economics, Collegium of Management and Finance)

Abstract

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.

Suggested Citation

  • Weronika Rec, 2019. "Loss absorption capacity of central counterparties. Evidence from EU-authorised CCPs – part II," Bank i Kredyt, Narodowy Bank Polski, vol. 50(5), pages 429-456.
    • Handle: RePEc:nbp:nbpbik:v:50:y:2019:i:5:p:429-456
    as

    Download full text from publisher

    File URL: https://bankikredyt.nbp.pl/content/2019/05/BIK_05_2019_01.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    CCP; central clearing; default waterfall; financial stability; liquidity risk;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbp:nbpbik:v:50:y:2019:i:5:p:429-456. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wojciech Burjanek (email available below). General contact details of provider: https://edirc.repec.org/data/nbpgvpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.