Search: CPSS
RBA Glossary definition for CPSS
CPSS – Committee on Payment and Settlement Systems. On 1 September 2014 this Committee changed its name to the Committee on Payments and Market Infrastructures.
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The Model
22 Nov 2016
RDP
2016-07
at least 99 per cent of estimated future price movements (CPSS-IOSCO 2012).
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html
References
22 Nov 2016
RDP
2016-07
CPSS-IOSCO (Committee on Payment and Settlement Systems and Technical Committee of the International Organization of Securities Commissions) (2012), Principles for Financial Market Infrastructures, Bank for International Settlements, Basel.
https://www.rba.gov.au/publications/rdp/2016/2016-07/references.html
Background
22 Nov 2016
RDP
2016-07
Under international standards, ‘initial margin should meet an established single-tailed confidence level of at least 99 percent with respect to the estimated distribution of future exposure’ (CPSS-IOSCO 2012, p
https://www.rba.gov.au/publications/rdp/2016/2016-07/background.html
The Efficiency of Central Clearing: A Segmented Markets Approach
1 Oct 2016
RDP
2016-07
Under international standards, ‘initial margin should meet an established single-tailed confidence level of at least 99 percent with respect to the estimated distribution of future exposure’ (CPSS-IOSCO 2012, p ... at least 99 per cent of estimated
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html