Capital requirements for over-the-counter derivatives central counterparties:
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.]
International Monetary Fund
©2013
|
| Series: | IMF working paper
WP/13/3 |
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | 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 |
| Physical Description: | 1 Online-Ressource (47 pages) |
| ISBN: | 9781475571776 1475571771 |
Staff View
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| 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 | ||
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| id | DE-604.BV042965684 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:57Z |
| institution | BVB |
| isbn | 9781475571776 1475571771 |
| language | English |
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| 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 |
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