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Digital Library of the
European Council for Modelling and Simulation |
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Title: |
The Definition Of Stress Situations And Their Prediction Using
Liquidity In The Framework Of The EMIR Regulation |
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Authors: |
Barbara Doemoetoer, Kata Varadi |
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Published in:
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(2014).ECMS 2014 Proceedings edited
by: Flaminio Squazzoni,
Fabio Baronio, Claudia Archetti,
Marco Castellani European Council for
Modeling and Simulation. doi:10.7148/2014 ISBN:
978-0-9564944-8-1 28th
European Conference on Modelling and Simulation, Brescia,
Italy, May 27th – 30th,
2014 |
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Citation
format: |
Barbara
Doemoetoer, Kata Varadi (2014).
The Definition Of Stress Situations
And Their Prediction Using Liquidity In The Framework Of The EMIR Regulation,
ECMS 2014 Proceedings edited by: Flaminio Squazzoni, Fabio Baronio,
Claudia Archetti, Marco Castellani European
Council for Modeling and Simulation. doi:10.7148/2014-0752 |
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DOI: |
http://dx.doi.org/10.7148/2014-0752 |
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Abstract: |
The role of the central
counterparties (CCP) in the financial sector is very important, since they
bear the counterparty risk during the trading on stock exchanges. Because of
the notable risk central counterparties have to face, the attention of the regulators
has turned towards them lately, by defining several processes how the CCPs should measure and manage their risk. The definition
of stress has a crucial role, however it is not specified clearly. Based on
the regulation, we investigate a possible definition of stress, its
consequences on the Hungarian stock market, and its relationship to and
predictability from market liquidity. |
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