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150128 ||| eng |
| 020 |
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|a 9781475535501
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| 100 |
1 |
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|a Lin, Li
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| 245 |
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|a Capital Requirements for Over-the-Counter Derivatives Central Counterparties
|c Li Lin, Jay Surti
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2013
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| 300 |
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|a 47 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Credit
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| 653 |
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|a Payment Systems
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| 653 |
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|a Banks
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| 653 |
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|a Finance
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| 653 |
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|a Dynamic Treatment Effect Models
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| 653 |
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|a Banks and banking
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| 653 |
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|a Regimes
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| 653 |
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|a Clearinghouses; Banking
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| 653 |
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|a Mortgages
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| 653 |
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|a Vector autoregression
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| 653 |
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|a Money
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| 653 |
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|a Time-Series Models
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| 653 |
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|a Standards
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| 653 |
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|a Financial Econometrics
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| 653 |
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|a Financial markets
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| 653 |
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|a Financial risk management
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| 653 |
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|a Capital and Ownership Structure
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| 653 |
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|a Forecasting and Other Model Applications
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| 653 |
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|a Goodwill
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| 653 |
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|a Currencies
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| 653 |
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|a Credit default swap
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| 653 |
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|a Banking
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| 653 |
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|a Brokerage
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| 653 |
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|a Econometrics
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| 653 |
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|a Financial Risk and Risk Management
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| 653 |
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|a Venture Capital
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| 653 |
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|a Econometrics & economic statistics
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| 653 |
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|a Financing Policy
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Government and the Monetary System
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| 653 |
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|a Institutional Investors
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| 653 |
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|a Pension Funds
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| 653 |
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|a Econometric analysis
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| 653 |
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|a Investment Banking
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| 653 |
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|a Monetary economics
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| 653 |
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|a Central counterparty clearing house
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| 653 |
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|a Hedging
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| 653 |
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|a Financial Instruments
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| 653 |
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|a Value of Firms
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| 653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Financial Institutions and Services: Government Policy and Regulation
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| 653 |
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|a Diffusion Processes
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| 653 |
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|a Non-bank Financial Institutions
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Ratings and Ratings Agencies
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| 653 |
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|a Monetary Systems
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| 653 |
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|a Financial regulation and supervision
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| 653 |
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|a Dynamic Quantile Regressions
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| 653 |
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|a Money and Monetary Policy
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| 653 |
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|a Finance: General
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| 653 |
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|a Financial services law & regulation
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| 700 |
1 |
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|a Surti, Jay
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781475535501.001
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| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2013/003/001.2013.issue-003-en.xml?cid=40220-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
0 |
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|a 330
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| 520 |
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|a 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
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