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SUMMARY:Static Models of Central Counterparty Risk - Ghamami\, S (FRB - UC
  Berkeley)
DTSTART:20141218T113000Z
DTEND:20141218T121500Z
UID:TALK56695@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Following the 2009 G-20 clearing mandate\, international stand
 ard setting bodies (SSBs)have outlined a set of principles for central cou
 nterparty (CCP) risk management\; they have also devised formulaic CCP ris
 k capital requirements on clearing members for their central counterparty 
 exposures. There is still no consensus among CCP regulators and bank regul
 ators on how central counterparty risk should be measured coherently in pr
 actice. A conceptually sound and logically consistent definition of the CC
 P risk capital in the absence of a unifying CCP risk measurement framework
  is challenging. Incoherent CCP risk capital requirements may create an ob
 scure environment disincentivizing the central clearing of over the counte
 r (OTC) derivatives transactions. Based on novel applications of well-know
 n mathematical models in finance\, this paper introduces a risk measuremen
 t framework that coherently specifies all layers of the default waterfall 
 resources of typical derivatives CCPs. The proposed framework gives the fi
 rst risk sensitive definition of the CCP risk capital based on which less 
 risk sensitive non-model-based methods can be evaluated.\n
LOCATION:Seminar Room 1\, Newton Institute
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