CCP stress tests need improvement, argues new research
Existing data could inform a greater number of stress scenarios and create a system-wide test
The effectiveness of clearing house stress tests conducted by US and European regulators could be dramatically improved by applying better analytical techniques to existing data, says a recently published paper proposing the creation of a system-wide stress test.
While central counterparties (CCPs) are generally required to hold enough financial resources to withstand the default of their largest two clearing members, there remain widely held fears over the impact of rare events that could
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