Research Discussion Paper – RDP 2015-02 Central Counterparty Loss Allocation and Transmission of Financial Stress

Contents

• Introduction
• Background and Relevant Literature
• Data and Exposure Analysis
• Contagion Analysis
• Policy Implications
• Conclusions
• Appendix A: Distribution of Losses under Alternative Loss Allocation Mechanisms
• References

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The authors would like to thank Sheri Markose, Ali Rais Shaghaghi and Simone Giansante for valuable inputs to this work while collaborating on related research, including access to the genetic algorithm that has been applied to complete the bilateral position matrix described in Section 3. The authors would also like to thank Christopher Kent, John Simon, Jenny Hancock and Manmohan Singh for helpful comments, and Wing Hsieh for assistance in gathering relevant balance sheet data.