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RBA Glossary definition for central bank
central bank – A non-commercial bank, which may or may not be independent of government, which has some or all of the following functions: conduct monetary policy; oversee the stability of the financial system; issue currency notes; act as banker to the government; supervise financial institutions and regulate payments systems.
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Central Counterparty Loss Allocation and Transmission of Financial Stress
18 Mar 2015
RDP
2015-02
Research Discussion Paper – RDP 2015-02 Central Counterparty Loss Allocation and Transmission of Financial Stress Abstract. ... Among the reforms to over-the-counter (OTC) derivative markets since the global financial crisis is a commitment to
https://www.rba.gov.au/publications/rdp/2015/2015-02.html
Central Counterparty Loss Allocation and Transmission of Financial Stress
18 Mar 2015
RDP
2015-02
Research Discussion Paper – RDP 2015-02 Central Counterparty Loss Allocation and Transmission of Financial Stress. ... Views expressed in this paper are those of the authors and not necessarily those of the Reserve Bank.
https://www.rba.gov.au/publications/rdp/2015/2015-02/
Data and Exposure Analysis
29 Sep 2015
RDP
2015-02
For B banks, we define the OTC derivative obligations owed by bank i to bank j in product-class k to be. ... For each bank i (within the population of B banks) that novates a proportion s.
https://www.rba.gov.au/publications/rdp/2015/2015-02/data-exposure-analysis.html
Policy Implications
29 Sep 2015
RDP
2015-02
RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress 5. ... It can also lower the collateral requirements associated with banks' OTC derivative positions.
https://www.rba.gov.au/publications/rdp/2015/2015-02/policy-implications.html
Conclusions
11 Sep 2015
RDP
2015-02
RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress 6. ... Finally, the analysis in this paper has taken banks' OTC derivative positions, liquidity holdings and capital positions as given.
https://www.rba.gov.au/publications/rdp/2015/2015-02/conclusions.html
References
11 Sep 2015
RDP
2015-02
BCBS (Basel Committee on Banking Supervision) (2014),. Capital Requirements for Bank Exposures to Central Counterparties. , ... Bank for International Settlements, Basel. CPMI-IOSCO (2015),. Public Quantitative Disclosure Standards for Central
https://www.rba.gov.au/publications/rdp/2015/2015-02/references.html
Contagion Analysis
29 Sep 2015
RDP
2015-02
The results are presented in Figure 5. In the scenarios in which some non-central clearing persists, stress is well contained until four banks are initially stressed. ... There is nevertheless some incidence of secondary stress in these scenarios,
https://www.rba.gov.au/publications/rdp/2015/2015-02/contagion-analysis.html
Appendix A: Distribution of Losses under Alternative Loss Allocation Mechanisms
11 Sep 2015
RDP
2015-02
RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress Appendix A: Distribution of Losses under Alternative Loss Allocation Mechanisms. ... Reserve Bank of Australia, 2001–2024. All rights reserved. The Reserve Bank of
https://www.rba.gov.au/publications/rdp/2015/2015-02/appendix-a.html
Introduction
11 Sep 2015
RDP
2015-02
RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress 1. ... This extends well beyond the core of 16 highly interconnected dealer banks to also include banks that have fewer counterparties.
https://www.rba.gov.au/publications/rdp/2015/2015-02/introduction.html
Background and Relevant Literature
11 Sep 2015
RDP
2015-02
RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress 2. ... Download the Paper 1.26. MB. 2.1 The Systemic Importance of Central Counterparties.
https://www.rba.gov.au/publications/rdp/2015/2015-02/background-relevant-literature.html