Central counterparty exposure in stressed markets

• Main Authors: HUANG, Wenqian, MENKVELD, Albert J., YU, Shihao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Central counterparties (CCPs); crowding risk; market stress; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7505; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8504/viewcontent/Central_counterparty_exposure_in_stressed_markets_av.pdf
• Institution: Singapore Management University

Time is valuable, particularly in stressed markets. Because central counterparties (CCPs) have become systemically important, we need to understand the dynamics of their exposure toward clearing members at high frequencies. We track such exposure and decompose it, yielding the following insights. Th...