UID:
edocfu_9958104848902883
Format:
1 online resource (48 p.)
ISBN:
1-4755-7839-3
,
1-4755-6498-8
,
1-299-26400-X
Series Statement:
IMF working paper ; WP/13/3
Content:
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.
Note:
"Monetary and Capital Markets Department."
,
"January 2013."
,
Cover; Abstract; Contents; Glossary; A; C; D; E; F; G; I; J; L; M; O; P; S; T; V; I. Motivation and Overview; II. Systemic Importance of Global CCPs; Figures; 1. Size of the OTC-Derivatives Markets; 2. Size of Selected G-SIBs' OTC-Derivatives Exposures; 3. The G-SIB-CCP Network; III. CCPs' Risk Management Frameworks and Capital Buffers; 4. CCPs in the Global Financial Network; Boxes; 1. CCPs' IM Models; 2. CCPs' DF Models; IV. Methodology; A. Overview; B. Simulation of CMs' Positions; Tables; 1. Currency profile of cleared swaps and maturity profile of cleared IRS
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2. Mapping Original TtM into Maturity Buckets3. CM Outstanding Notional at Contract Level; 5. Representative CM Gross Notional OTC-Interest Rate Derivatives Positions; 4. CM Outstanding Positions at Contract Level; C. Valuation of Cleared OTC-Derivatives; D. Modeling Credit Spreads and the Term Structure; V. Results; A. Cleared IRS and OIS; 5. Impact of Changes in Direct Hedging on CCP Capital Requirements; 6. Comparing Simulated Asset-liability Ratios with Real Data; 6. Impact of Changing Market Conditions on CCP Risk Buffers; 7. SwapClear IM Using Rolling Volatilities
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7. Adequacy of Buffers under Different Capital Models During Lehman WeekB. Cleared CDS; 8. Five-day Close-out Gain-loss Distribution for a G-SIB CM; 8. Size of CCP Risk Buffer under VaR and ES; 9. Impact of Changing Market Conditions on CCP Risk Buffers; 10. Adequacy of Risk Buffers to Lehman-type Event; VI. Policy Implications; 9. ICE Clear Initial Margin Using Rolling Daily Returns and Volatilities; Appendixes; I. List of CMs at SwapClear, ICE Clear Credit and ICE Clear Europe; Appendix Tables; A1. Consolidated List of CMs at SwapClear; A2. List of CMs at ICE Clear
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10. Comparing Daily Returns on CDS on Two SN Obligors11. Comparing Standardized Residuals on CDS on Two SN Obligors; II. Modeling Credit Spreads; 12. Fitting Residuals Using a Mixed Paretotail and Kernel Smoothed Interior; 13. Residual Margins from Simulated (Copula) and Real (Paretotail) Data; 14. Residual Margins from Simulated and Real (Non-parametric) Data; References
,
English
Additional Edition:
ISBN 1-4755-7177-1
Additional Edition:
ISBN 1-4755-3550-3
Language:
English
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