Contemporary approaches to reducing the risks of central counterparties based on the use of marginal contributions
To protect their own interests central counterparties has developed a number of procedures, including payment of guarantee margin by trading members as a means to ensure their positions. This article discusses a number of approaches, which attempt to simulate the risks of the Central Committee, as well as calculating the amount of margin and other resources in the event of insolvency. These approaches are based on the simulation of the three main types: (a) statistical modeling; (b) optimization modeling, and (c) model of option pricing. The author incorporates the basic provisions of models.
clearing and central counterparty, risk, security, margin contributions.
Уткин Виктор Сергеевич. Contemporary approaches to reducing the risks of central counterparties based on the use of marginal contributions // Современные технологии управления. ISSN 2226-9339. — #7 (19). Номер статьи: 1904. Дата публикации: 08.07.2012. Режим доступа: https://sovman.ru/en/article/1904/
Utkin Victor Sergeevich. // Modern Management Technology. ISSN 2226-9339. — #7 (19). Art. # 1904. Date issued: 08.07.2012. Available at: https://sovman.ru/en/article/1904/
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