A Dynamic Model of CCP Risk


We introduce a dynamic model of default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a... [ view full abstract ]


  1. Tomasz Bielecki (Illinois Institute of Technology)
  2. Igor Cialenco (Illinois Institute of Technology)
  3. Shibi Feng (Illinois Institute of Technology)

Topic Areas

Credit Risk , Capital Requirements , Risk Measures


WE-A-B1 » Measuring Risk: Unilateral and Central Exposures (11:30 - Wednesday, 18th July, Beckett 1)

Presentation Files

The presenter has not uploaded any presentation files.