Technical paper/CCP
Cave quid optes: waterfalls and central counterparty capital
This paper explores the lines of defense of a central counterparty. The author examines the lines of defence ("the waterfall") of a central counterparty (CCP) inter alia in the context of the requirements set by the Principles for Financial Market…
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
A bill of goods: central counterparties and systemic risk
Volume 2, Issue 4 (2014)
Central counterparty links and clearing system exposures
Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships.