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Central Counterparty Exposure in Stressed Markets

Time is valuable, particularly in stressed markets. Because central counterparties (CCPs) have become systemically important, we need to understand the dynamics of their exposure toward clearing members at high frequencies. We track such exposure and decompose it, yielding the following insights. The composition of CCP exposure is fundamentally different in the tails. At extreme levels or during rapid increases, there is elevated crowding. This is the result of clearing members all concentrating their positions on a single security or a particular portfolio, which is desirable if motivated by hedging but worrying if due to speculation.

Ketersediaan

Informasi Detail

Judul Seri

MANAGEMENT SCIENCE; Vol.67 No.6 June 2021

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 3596 - 3617

Bahasa

English

ISBN/ISSN

-

Klasifikasi

-

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

CENTRAL COUNTERPARTIES (CCPS)
CROWDING RISK
MARKET STRESS

Info Detail Spesifik

https://doi.org/10.1287/mnsc.2020.3601

Pernyataan Tanggungjawab

Wenqian Huang, Albert J. Menkveld, Shihao Yu

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