Princeton University Library Catalog

Quantification of Central Counterparty Risk: A Clearing Member’s Perspective

Author/​Artist:
She, Michael [Browse]
Format:
Senior thesis
Language:
English
Advisor(s):
Sircar, Ronnie [Browse]
Department:
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Class year:
2014
Description:
120
Summary note:
As central counterparties (CCPs) become more integral in modern financial markets for OTC derivatives, it is essential to understand and measure not only the risks they pose to the rest of the financial system, but also the risks they pose to the individual financial institutions that clear with them. This paper will address the particular issue of quantifying CCP risk from the perspective of a clearing member through a bottom-up model for the interaction between a CCP and its individual clearing members.