英文标题：
《Systemic Risks in CCP Networks》
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作者：
Russell Barker, Andrew Dickinson, Alex Lipton, Rajeev Virmani
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最新提交年份：
2016
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英文摘要：
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market volatility and margining requirements; the different risks faced by various types of market participant and the changes in margining requirements a clearing member faces as the system evolves. By considering the entire network of CCPs and clearing members, we investigate the distribution of losses to default fund contributions and contingent liquidity requirements for each clearing member; further, we identify wrong-way risks between defaults of clearing members and market turbulence.
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中文摘要：
我们为中央对手方清算所（CCP）清算成员面临的信用和流动性风险提出了一个模型。该模型旨在捕捉以下特征：缺口风险；清算会员违约、市场波动和保证金要求之间的反馈；不同类型的市场参与者所面临的不同风险，以及随着系统的发展，结算会员所面临的保证金要求的变化。通过考虑CCP和清算成员的整个网络，我们调查了每个清算成员的违约基金供款损失分布和或有流动性要求；此外，我们还发现结算会员违约和市场动荡之间存在错误的风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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