RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress Appendix A: Distribution of Losses under Alternative Loss Allocation Mechanisms

Figures A1 and A2, below, compare the distribution of losses under VMGH and ex post calls on participants, for Scenarios 3 and 4. The parameter combinations we use are those considered in Section 4.2.4. The most striking features of the figures are that losses under VMGH are more uneven and more narrowly dispersed than under ex post calls; under VMGH, losses are concentrated among a small number of participants, each of which generally faces a larger loss than any individual participant under ex post calls.