Search: CCP
RBA Glossary definition for CCP
CCP – Central counterparty
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The Model
22 Nov 2016
RDP
2016-07
The gross payments the CCP makes in period t 1 are given by:. ... In reality, CCPs scale default fund requirements based on traders' activity through the CCP.
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html
Results
22 Nov 2016
RDP
2016-07
In this case, traders place a high value on the insurance against counterparty default provided by the CCP. ... In contrast, the constrained-efficient solution internalises the costs of traders' defaults on the CCP.
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html
The Efficiency of Central Clearing: A Segmented Markets Approach
1 Oct 2016
RDP
2016-07
Under what conditions does a CCP improve welfare when managing counterparty credit risk? ... The gross payments the CCP makes in period t 1 are given by:.
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html
Background
22 Nov 2016
RDP
2016-07
CCPs also collect financial resources from all of their participants through a default fund. ... The three OTC derivatives CCPs licensed in Australia all meet the ‘cover two’ standard.
https://www.rba.gov.au/publications/rdp/2016/2016-07/background.html
Introduction
22 Nov 2016
RDP
2016-07
Under what conditions does a CCP improve welfare when managing counterparty credit risk? ... The CCP in our model does so by guaranteeing payment on all contracts that it clears.
https://www.rba.gov.au/publications/rdp/2016/2016-07/introduction.html
References
22 Nov 2016
RDP
2016-07
Carter L, J Hancock and M Manning (2015), ‘Ownership, Incentives and Regulation of CCP Risks’, in M Diehl, B Alexandrova-Kabadjova, R Heuver and S Martínez-Jaramillo (eds), Analyzing the Economics ... Heath A, G Kelly, M Manning, S Markose and A
https://www.rba.gov.au/publications/rdp/2016/2016-07/references.html
Appendix B: Solving the Constrained-efficient Problem
22 Nov 2016
RDP
2016-07
Download the Paper 2.00. MB. As described in Section 3.6.2, the planner maximises all traders' utility, taking into account all traders' budget constraints, and the CCP's budget
https://www.rba.gov.au/publications/rdp/2016/2016-07/appendix-b.html
Appendix A: Trader Behaviour and Solution Method
22 Nov 2016
RDP
2016-07
In some cases we need to evaluate integrals across all markets, for example, for the stationary equilibrium CCP default fund fee (Equation (24)).
https://www.rba.gov.au/publications/rdp/2016/2016-07/appendix-a.html
Conclusion and Discussion
22 Nov 2016
RDP
2016-07
In the absence of initial margin, the moral hazard problem that arises from mutualising default losses through a CCP's default fund is large.
https://www.rba.gov.au/publications/rdp/2016/2016-07/conclusion-and-discussion.html