Capital requirements for over-the-counter derivatives central counterparties /

Capital requirements for over-the-counter derivatives central counterparties /

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Bibliographic Details
Author / Creator:	Lin, Li.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2013.
Description:	1 online resource (47 pages)
Language:	English
Series:	IMF working paper ; WP/13/3 IMF working paper ; WP/13/3.
Subject:	Derivative securities. Over-the-counter markets. Capital. Capital. Derivative securities. Over-the-counter markets.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12501456

Hidden Bibliographic Details
Other authors / contributors:	Surti, Jay. International Monetary Fund. Monetary and Capital Markets Department.
ISBN:	9781475571776 1475571771
Notes:	Title from PDF title page (IMF Web site, viewed Jan. 16, 2013). "Monetary and Capital Markets Department." "January 2013." Includes bibliographical references.
Summary:	The central counterparties dominating the market for the clearing of over-the-counter interest rate and credit derivatives are globally systemic. Employing methodologies similar to the calculation of banks' capital requirements against trading book exposures, this paper assesses the sensitivity of central counterparties' required risk buffers, or capital requirements, to a range of model inputs. We find them to be highly sensitive to whether key model parameters are calibrated on a point-in-time versus stress-period basis, whether the risk tolerance metric adequately captures tail events, and the ability--or lack thereof--to define exposures on the basis of netting sets spanning multiple risk factors. Our results suggest that there are considerable benefits from having prudential authorities adopt a more prescriptive approach to for central counterparties' risk buffers, in line with recent enhancements to the capital regime for banks.

Description
Summary:	The central counterparties dominating the market for the clearing of over-the-counter interest rate and credit derivatives are globally systemic. Employing methodologies similar to the calculation of banks' capital requirements against trading book exposures, this paper assesses the sensitivity of central counterparties' required risk buffers, or capital requirements, to a range of model inputs. We find them to be highly sensitive to whether key model parameters are calibrated on a point-in-time versus stress-period basis, whether the risk tolerance metric adequately captures tail events, and the ability--or lack thereof--to define exposures on the basis of netting sets spanning multiple risk factors. Our results suggest that there are considerable benefits from having prudential authorities adopt a more prescriptive approach to for central counterparties' risk buffers, in line with recent enhancements to the capital regime for banks.
Item Description:	Title from PDF title page (IMF Web site, viewed Jan. 16, 2013). "Monetary and Capital Markets Department." "January 2013."
Physical Description:	1 online resource (47 pages)
Bibliography:	Includes bibliographical references.
ISBN:	9781475571776 1475571771