Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98893
Authors: 
Menkveld, Albert J.
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-065/IV/DSF75
Abstract: 
Counterparty default risk might hamper trade and trigger a financial crisis. The introduction of a central clearing counterparty (CCP) benefits trading but pushes systemic risk into CCP default. Standard risk management strategies at CCPs currently overlook a risk associated with crowded trades. This paper identifies it, measures it, and proposes a margin methodology that accounts for it. The application to actual CCP data illustrates that this hidden risk can become large, in particular at times of high CCP risk.
Subjects: 
Financial economics
JEL: 
G00
Document Type: 
Working Paper

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