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Digital
Library of the European Council for Modelling and Simulation |
Title: |
Clearinghouses Versus Central Counterparties From Margin Calculation
Point Of View |
Authors: |
Melinda Friesz, Kata Varadi |
Published in: |
(2021). ECMS 2021,
35th Proceedings DOI: http://doi.org/10.7148/2021 ISSN:
2522-2422 (ONLINE) ISSN:
2522-2414 (PRINT) ISSN:
2522-2430 (CD-ROM) ISBN: 978-3-937436-72-2 Communications of the ECMS , Volume 35, Issue 1, June 2021, United Kingdom |
Citation
format: |
Melinda Friesz,
Kata Varadi (2021). Clearinghouses
Versus Central Counterparties From Margin Calculation Point Of View, ECMS 2021 Proceedings Edited By: Khalid Al-Begain, Mauro Iacono, Lelio Campanile, Andrzej Bargiela European Council for Modeling and Simulation. doi: 10.7148/2021-0075 |
DOI: |
https://doi.org/10.7148/2021-0075 |
Abstract: |
Clearinghouses
and central counterparties (CCPs) have a notable
role in financial markets, namely facilitating securities trading and derivative
transactions on exchanges and over-the-counter markets. They have to clear
the transactions and carry out their settlements to decrease costs and settlement
risk. To efficiently carry out this activity, they need to collect adequate
collateral from the trading parties as guarantees. Two main elements of these
guarantees are the margin requirement and default fund contribution. Our paper
focuses on the margin calculations and emphasizes their notable difference in
the case of clearinghouses and CCPs. Our main
result is that clearinghouses’ margin requirement is better from a procyclicality point of view; however, CCP margining is
more prudent based on our results. |
Full
text: |