英文标题：
《A Dynamic Model of Central Counterparty Risk》
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作者：
Tomasz R. Bielecki, Igor Cialenco and Shibi Feng
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最新提交年份：
2018
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英文摘要：
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian structure model of joint credit migrations, our evaluation of DF takes into account the joint credit quality of clearing members as they evolve over time. Another important aspect of the proposed methodology is the use of the time consistent dynamic risk measures for computation of IM and DF. We carry out a comprehensive numerical study, where, in particular, we analyze the advantages of the proposed methodology and its comparison with the currently prevailing methods used in industry.
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中文摘要：
我们引入了衍生品CCP违约瀑布的动态模型，并提出了一种风险敏感的方法来确定初始保证金（IM）、违约基金（DF）及其在清算成员之间的分配。使用联合信贷迁移的马尔可夫结构模型，我们对DF的评估考虑了清算成员随时间演变的联合信贷质量。拟议方法的另一个重要方面是使用时间一致的动态风险度量来计算IM和DF。我们进行了全面的数值研究，特别是，我们分析了所提出方法的优势及其与目前工业上使用的主流方法的比较。
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分类信息：

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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