The Resource Capital requirements for over-the-counter derivatives central counterparties, prepared by Li Lin and Jay Surti

Capital requirements for over-the-counter derivatives central counterparties, prepared by Li Lin and Jay Surti

Label
Capital requirements for over-the-counter derivatives central counterparties
Title
Capital requirements for over-the-counter derivatives central counterparties
Statement of responsibility
prepared by Li Lin and Jay Surti
Creator
Contributor
Subject
Language
eng
Summary
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
Member of
Cataloging source
DJB
Dewey number
332.645
Government publication
international or intergovernmental publication
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 No. 13/3eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
WP/13/3
Label
Capital requirements for over-the-counter derivatives central counterparties, prepared by Li Lin and Jay Surti
Publication
Note
  • "January 2013."
  • "Monetary and Capital Markets Department."
  • Title from PDF title page (IMF Web site, viewed Jan. 16, 2013)
Antecedent source
unknown
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn824513303
Dimensions
unknown
Extent
1 online resource (47 pages)
File format
unknown
Form of item
online
Isbn
9781475571776
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b37121996
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)824513303
  • imf1475571771

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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