Search: CCP Standards

Sort by: Relevance Date
1–4 of 4 collapsed search results for CCP Standards

RBA Glossary definition for CCP

CCP – Central counterparty

Search Results

Results

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
In contrast, the constrained-efficient solution internalises the costs of traders' defaults on the CCP. ... Third, quantitatively our model suggests that current international standards that require CCPs to set margin to cover at least 99 per cent of
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html

The Model

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
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

Background

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
Under international standards, this pool must be sufficient to cover the simultaneous default of the CCP's two largest participants in extreme but plausible scenarios. ... The three OTC derivatives CCPs licensed in Australia all meet the ‘cover two’
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
James Hansen and Angus Moore
Under what conditions does a CCP improve welfare when managing counterparty credit risk? ... Under international standards, this pool must be sufficient to cover the simultaneous default of the CCP's two largest participants in extreme but plausible
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html