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Contemporary approaches to reducing the risks of central counterparties based on the use of marginal contributions

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Authors


Candidate of Economic Sciences, Associate Professor of "Monetary and credit relations and monetary policy"
Russia, Financial University under the Government of the Russian Federation
[email protected]

Abstract

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.

Keywords

clearing and central counterparty, risk, security, margin contributions.

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Utkin Viktor Sergeyevich
Contemporary approaches to reducing the risks of central counterparties based on the use of marginal contributions// Modern Management Technology. ISSN 2226-9339. – #7 (19). Art. # 1904. Date issued: . Available at: https://sovman.ru/en/article/1904/

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