Capital requirements for over-the-counter derivatives central counterparties:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.]
International Monetary Fund
©2013
|
| Schriftenreihe: | IMF working paper
WP/13/3 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Jan. 16, 2013). - "Monetary and Capital Markets Department.". - "January 2013." 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 Includes bibliographical references |
| Beschreibung: | 1 Online-Ressource (47 pages) |
| ISBN: | 9781475571776 1475571771 |
Internformat
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV042965684 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151030s2013 |||| o||u| ||||||eng d | ||
| 020 | |a 9781475571776 |c electronic bk. |9 978-1-4755-7177-6 | ||
| 020 | |a 1475571771 |c electronic bk. |9 1-4755-7177-1 | ||
| 035 | |a (OCoLC)824513303 | ||
| 035 | |a (DE-599)BVBBV042965684 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 082 | 0 | |a 332.645 |2 23 | |
| 100 | 1 | |a Lin, Li |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Capital requirements for over-the-counter derivatives central counterparties |c prepared by Li Lin and Jay Surti |
| 264 | 1 | |a [Washington, D.C.] |b International Monetary Fund |c ©2013 | |
| 300 | |a 1 Online-Ressource (47 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a IMF working paper |v WP/13/3 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Jan. 16, 2013). - "Monetary and Capital Markets Department.". - "January 2013." | ||
| 500 | |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 | ||
| 500 | |a Includes bibliographical references | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Investments & Securities / General |2 bisacsh | |
| 650 | 7 | |a Capital |2 fast | |
| 650 | 7 | |a Derivative securities |2 fast | |
| 650 | 7 | |a Over-the-counter markets |2 fast | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Over-the-counter markets | |
| 650 | 4 | |a Capital | |
| 700 | 1 | |a Surti, Jay |e Sonstige |4 oth | |
| 710 | 2 | |a International Monetary Fund |b Monetary and Capital Markets Department |e Sonstige |4 oth | |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=547916 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBU | ||
| 940 | 1 | |q FLA_PDA_EBU | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028391552 | ||
Datensatz im Suchindex
| _version_ | 1804175291277377536 |
|---|---|
| any_adam_object | |
| author | Lin, Li |
| author_facet | Lin, Li |
| author_role | aut |
| author_sort | Lin, Li |
| author_variant | l l ll |
| building | Verbundindex |
| bvnumber | BV042965684 |
| collection | ZDB-4-EBU |
| ctrlnum | (OCoLC)824513303 (DE-599)BVBBV042965684 |
| dewey-full | 332.645 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.645 |
| dewey-search | 332.645 |
| dewey-sort | 3332.645 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02745nmm a2200469zcb4500</leader><controlfield tag="001">BV042965684</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151030s2013 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781475571776</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-1-4755-7177-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1475571771</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">1-4755-7177-1</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)824513303</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV042965684</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.645</subfield><subfield code="2">23</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Lin, Li</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Capital requirements for over-the-counter derivatives central counterparties</subfield><subfield code="c">prepared by Li Lin and Jay Surti</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">[Washington, D.C.]</subfield><subfield code="b">International Monetary Fund</subfield><subfield code="c">©2013</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (47 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">IMF working paper</subfield><subfield code="v">WP/13/3</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Title from PDF title page (IMF Web site, viewed Jan. 16, 2013). - "Monetary and Capital Markets Department.". - "January 2013."</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Investments & Securities / General</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Capital</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Derivative securities</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Over-the-counter markets</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Over-the-counter markets</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Capital</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Surti, Jay</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="710" ind1="2" ind2=" "><subfield code="a">International Monetary Fund</subfield><subfield code="b">Monetary and Capital Markets Department</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=547916</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">FLA_PDA_EBU</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028391552</subfield></datafield></record></collection> |
| id | DE-604.BV042965684 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:57Z |
| institution | BVB |
| isbn | 9781475571776 1475571771 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028391552 |
| oclc_num | 824513303 |
| open_access_boolean | |
| physical | 1 Online-Ressource (47 pages) |
| psigel | ZDB-4-EBU FLA_PDA_EBU |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF working paper |
| spelling | Lin, Li Verfasser aut Capital requirements for over-the-counter derivatives central counterparties prepared by Li Lin and Jay Surti [Washington, D.C.] International Monetary Fund ©2013 1 Online-Ressource (47 pages) txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/13/3 Title from PDF title page (IMF Web site, viewed Jan. 16, 2013). - "Monetary and Capital Markets Department.". - "January 2013." 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 Includes bibliographical references BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Capital fast Derivative securities fast Over-the-counter markets fast Wirtschaft Derivative securities Over-the-counter markets Capital Surti, Jay Sonstige oth International Monetary Fund Monetary and Capital Markets Department Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=547916 Aggregator Volltext |
| spellingShingle | Lin, Li Capital requirements for over-the-counter derivatives central counterparties BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Capital fast Derivative securities fast Over-the-counter markets fast Wirtschaft Derivative securities Over-the-counter markets Capital |
| title | Capital requirements for over-the-counter derivatives central counterparties |
| title_auth | Capital requirements for over-the-counter derivatives central counterparties |
| title_exact_search | Capital requirements for over-the-counter derivatives central counterparties |
| title_full | Capital requirements for over-the-counter derivatives central counterparties prepared by Li Lin and Jay Surti |
| title_fullStr | Capital requirements for over-the-counter derivatives central counterparties prepared by Li Lin and Jay Surti |
| title_full_unstemmed | Capital requirements for over-the-counter derivatives central counterparties prepared by Li Lin and Jay Surti |
| title_short | Capital requirements for over-the-counter derivatives central counterparties |
| title_sort | capital requirements for over the counter derivatives central counterparties |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Capital fast Derivative securities fast Over-the-counter markets fast Wirtschaft Derivative securities Over-the-counter markets Capital |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General Capital Derivative securities Over-the-counter markets Wirtschaft |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=547916 |
| work_keys_str_mv | AT linli capitalrequirementsforoverthecounterderivativescentralcounterparties AT surtijay capitalrequirementsforoverthecounterderivativescentralcounterparties AT internationalmonetaryfundmonetaryandcapitalmarketsdepartment capitalrequirementsforoverthecounterderivativescentralcounterparties |