Capital Requirements for Over-the-Counter Derivatives Central Counterparties
Capital Requirements for Over-the-Counter Derivatives Central Counterparties
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DOI：
10.2139/ssrn.2216087
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发表时间：
2013-01
期刊：
影响因子：
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通讯作者：
Li Lin;J. Surti
中科院分区：
文献类型：
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作者：
Li Lin;J. Surti
主导场外利率和信用衍生品清算市场的中央对手方具有全球性系统性。采用与针对交易账簿风险敞口计算银行资本要求类似的方法，本文评估了中央对手方所要求的风险缓冲或资本要求对一系列模型输入的敏感性。我们发现，它们对关键模型参数是否在时间点相对于压力期间进行校准、风险容忍度指标是否充分捕捉尾部事件以及是否有能力(或缺乏)基于跨越多个风险因素的净额集合来定义风险敞口高度敏感。我们的结果表明，让审慎监管机构采取更具规范性的方法，为中央对手方的风险缓冲提供支持，这与最近银行资本制度的强化一致，会带来相当大的好处。
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.