Assessing the adequacy of CCPs' default resources

Our Financial Stability Papers are designed to develop new insights into risk management, to promote risk reduction policies, to improve financial crisis management planning or to report on aspects of our systemic financial stability work.
Published on 15 November 2013

Financial Stability Paper No. 26
By Fergus Cumming and Joseph Noss

This paper proposes a methodology whereby daily data on a CCP’s member exposures may be used to form a ‘top-down’ statistical model of the risk arising from CCPs’ exposures to their members. In doing so, it may offer a tool with which CCPs, their members and their regulators, could assess the adequacy of CCPs’ total default resources and quantify the trade-off that occurs in the balance of resources between initial margin and default funds. It may also provide a technique to estimate the relative risk borne by clearing members on their CCP default fund contributions.

PDFAssessing the adequacy of CCPs’ default resources

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