RDP 2015-02: Central Counterparty Loss Allocation and Transmission of Financial Stress References

Bailey D (2014), ‘The Bank of England's Perspective on CCP Risk Management, Recovery and Resolution Arrangements’, Speech given at Exchange of Ideas #2 ‘Central Clearing – Guarantee of Stability or New Moral Hazard’, Hosted by Eurex, Deutsche Börse Group, London, 24 November.

BCBS (Basel Committee on Banking Supervision) (2014), Capital Requirements for Bank Exposures to Central Counterparties, Bank for International Settlements, Basel.

BCBS-IOSCO (Board of the International Organization of Securities Commissions) (2013), Margin Requirements for Non-Centrally Cleared Derivatives, Bank for International Settlements, Basel.

CGFS (Committee on the Global Financial System) (2013), Asset Encumbrance, Financial Reform and the Demand for Collateral Assets, CGFS Papers No 49, Bank for International Settlements, Basel.

Cheung B, M Manning and A Moore (2014), ‘The Effective Supply of Collateral in Australia’, RBA Bulletin, September, pp 53–66.

Cœuré B (2014), ‘The Known Unknowns of Central Clearing’, Speech given at the meeting on ‘Global Economy and Financial System’, Hosted by the University of Chicago Booth School of Business Initiative on Global Markets, Coral Gables, 29 March.

CPMI (Committee on Payments and Market Infrastructures)-IOSCO (2014), Recovery of Financial Market Infrastructures, Bank for International Settlements, Basel.

CPMI-IOSCO (2015), Public Quantitative Disclosure Standards for Central Counterparties, Bank for International Settlements, Basel.

CPSS-IOSCO (Committee on Payment and Settlement Systems and Technical Committee of the International Organization of Securities Commissions) (2012), Principles for Financial Market Infrastructures, Bank for International Settlements, Basel.

Duffie D (2014), ‘Resolution of Failing Central Counterparties’, Graduate School of Business, Stanford University, Working Paper No 3256.

Duffie D, M Scheicher and G Vuillemey (2014), ‘Central Clearing and Collateral Demand’, NBER Working Paper No 19890.

Duffie D and H Zhu (2011), ‘Does a Central Clearing Counterparty Reduce Counterparty Risk?’, The Review of Asset Pricing Studies 1(1), pp 74–95.

Elliott D (2013), ‘Central Counterparty Loss-Allocation Rules’, Bank of England Financial Stability Paper No 20.

FSB (Financial Stability Board) (2013), ‘Application of the Key Attributes of Effective Resolution Regimes to Non-Bank Financial Institutions’, October.

Furfine CH (2003), ‘Interbank Exposures: Quantifying the Risk of Contagion’, Journal of Money, Credit, and Banking, 35(1), pp 111–128.

G20 (Group of Twenty) (2009), ‘Leaders' Statement: The Pittsburgh Summit’, 24–25 September.

Gibson M (2013), ‘Recovery and Resolution of Central Counterparties’, RBA Bulletin, December, pp 39–48.

Heath A, G Kelly and M Manning (2013), ‘OTC Derivatives Reform: Netting and Networks’, in A Heath, M Lilley and M Manning (eds), Liquidity and Funding Markets, Proceedings of a Conference, Reserve Bank of Australia, Sydney, pp 33–73.

Heller D and N Vause (2012), ‘Collateral Requirements for Mandatory Central Clearing of Over-The-Counter Derivatives’, BIS Working Paper No 373.

ISDA (International Swaps and Derivatives Association) (2013), ‘CCP Loss Allocation at the End of the Waterfall’, Risk Management Technical Paper, August.

ISDA (2014), ‘ISDA Margin Survey 2014’, 10 April.

ISDA (2015), ‘CCP Default Management, Recovery and Continuity: A Proposed Recovery Framework’, Risk Management Position Paper, January.

ISDA, IIF and AFME (ISDA, the Institute of International Finance and the Association for Financial Markets in Europe) (2012), ‘BCBS-IOSCO Proposal on Margin Requirements for Non-Centrally-Cleared Derivatives’, Letter to BCBS and IOSCO, 12 December.

JP Morgan Chase (2014), ‘What is the Resolution Plan for CCPs?’, Perspectives, September.

Levels A and J Capel (2012), ‘Is Collateral Becoming Scarce? Evidence for the Euro Area’, Journal of Financial Market Infrastructures, 1(1), pp 29–53.

MAGD (Macroeconomic Assessment Group on Derivatives) (2013), Macroeconomic Impact Assessment of OTC Derivatives Regulatory Reforms, Bank for International Settlements, Basel.

Markose SM (2012), ‘Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and its Mitigation with Super-Spreader Tax’, IMF Working Paper No WP/12/282.

Markose SM, S Giansante and AR Shaghagi (2012), ‘“Too Interconnected to Fail” Financial Network of US CDS Market: Topological Fragility and Systemic Risk’, Journal of Economic Behavior & Organization, 83(3), pp 627–646.

Pirrong C (2011), ‘The Economics of Central Clearing: Theory and Practice’, ISDA Discussion Paper No 1.

Powell JH (2014), ‘A Financial System Perspective on Central Clearing of Derivatives’, Keynote Address at Seventeenth Annual International Banking Conference ‘The New International Financial System: Analyzing the Cumulative Impact of Regulatory Reform’, Held by the Federal Reserve Bank of Chicago and the Bank of England, Chicago, 6 November.

RBA (Reserve Bank of Australia) (2014), Submission to the Financial System Inquiry, Reserve Bank of Australia, Sydney, March.

Shaghaghi AR and SM Markose (2012) ‘Empirical Calibration of Global Financial Derivatives Network: Genetic Algorithm for Multi-Objective Optimization of Data-based Constraints’, University of Essex, Economics Department and Centre for Computational Finance and Economic Agents, unpublished manuscript.

Sidanius C and F Zikes (2012), ‘OTC Derivatives Reform and Collateral Demand Impact’, Bank of England Financial Stability Paper No 18.

Singh M (2013), ‘The Changing Collateral Space’, IMF Working Paper No WP/13/25.

Singh M (2014), ‘Limiting Taxpayer “Puts”—An Example from Central Counterparties’, IMF Working Paper No WP/14/203.

Tucker P (2011), ‘Clearing Houses as System Risk Managers’, Keynote Address at the DTCC-CSFI (Depository Trust & Clearing Corporation and Centre for the Study of Financial Innovation) Post-Trade Fellowship Launch, London, 1 June.

Tucker P (2014), ‘Regulatory Reform, Stability, and Central Banking’, Hutchins Center on Fiscal & Monetary Policy at Brookings, Hutchins Center Working Papers, 16 January.

Wendt F (2015), ‘Central Counterparties: Addressing their Too Important to Fail Nature’, IMF Working Paper No WP/15/21.