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RBA Glossary definition for CCP

CCP – Central counterparty

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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

Results

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

Appendix B: Solving the Constrained-efficient Problem

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

References

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
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 A: Trader Behaviour and Solution Method

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