Jorge Cruz Lopez

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Staff discussion papers

Who Pays? CCP Resource Provision in the Post-Pittsburgh World

Staff Discussion Paper 2017-17 Jorge Cruz Lopez, Mark Manning
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets.

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Staff working papers

CoMargin

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.

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