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

Author/​Artist
She, Michael [Browse]
Format
Senior thesis
Language
English
Description
120

Details

Advisor(s)
Sircar, Ronnie [Browse]
Department
Princeton University. Department of Operations Research and Financial Engineering [Browse]
Class year
2014
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.

Supplementary Information