Search: CPSS

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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
James Hansen and Angus Moore
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
James Hansen and Angus Moore
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
James Hansen and Angus Moore
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
James Hansen and Angus Moore
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