IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-03679452.html
   My bibliography  Save this paper

CCP Resilience and Clearing Membership

Author

Listed:
  • Angela Armakola

    (PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne, Labex ReFi - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Jean-Paul Laurent

    (PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne, Labex ReFi - UP1 - Université Paris 1 Panthéon-Sorbonne)

Abstract

Central clearing counterparties (CCPs) have become a major concern regarding systemic risk and financial stability. Thus, assessing CCP resilience is a key challenge in the new financial landscape. We consider pre-funded waterfall resources, recovery tools and the assessment powers of major European and US CCPs. We also investigate loss allocation rules at the end of the waterfall and the impact of emerging resolution regimes on contingent liquidity obligations. As the resilience of a CCP depends on the soundness of the member base and its ability to provide funds, we question the payment capacity of a member base under normal and stressed scenarios. We show that under a cover 2 stressed scenario, member base quality erodes, jeopardising the ability of clearing members to fulfil possible contingent liquidity obligations. Conflicts of interest depending on the average quality and heterogeneity of member bases are shown to be a further matter of concern regarding CCP resilience.

Suggested Citation

  • Angela Armakola & Jean-Paul Laurent, 2022. "CCP Resilience and Clearing Membership," Working Papers hal-03679452, HAL.
    • Handle: RePEc:hal:wpaper:hal-03679452
    DOI: 10.2139/ssrn.2625579
    Note: View the original document on HAL open archive server: https://paris1.hal.science/hal-03679452
    as

    Download full text from publisher

    File URL: https://paris1.hal.science/hal-03679452/document
    Download Restriction: no
    File URL: https://libkey.io/10.2139/ssrn.2625579?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-03679452. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.