Radoslav Raykov - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:42:22+00:00To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse
https://www.bankofcanada.ca/2016/02/staff-working-paper-2016-4/
This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing.2016-02-23T08:09:14+00:00enTo Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse2016-02-23Economic modelsPayment clearing and settlement systemsStaff Working Paper 2014-6https://www.bankofcanada.ca/wp-content/uploads/2016/02/swp2016-4.pdfTo Share or Not to Share? Uncovered Losses in a Derivatives ClearinghouseRadoslav RaykovFebruary 2016GG1G19G2G21