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The Definition Of Stress Situations And Their Prediction Using Liquidity In The Framework Of The EMIR Regulation
2014
ECMS 2014 Proceedings edited by: Flaminio Squazzoni, Fabio Baronio, Claudia Archetti, Marco Castellani
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The role of the central counterparties (CCP) in the financial sector is very important, since they bear the counterparty risk during the trading on stock exchanges. Because of the notable risk central counterparties have to face, the attention of the regulators has turned towards them lately, by defining several processes how the CCPs should measure and manage their risk. The definition of stress has a crucial role, however it is not specified clearly. Based on the regulation, we investigate a
doi:10.7148/2014-0752
dblp:conf/ecms/DomotorV14
fatcat:huztq5wxarfipgswmdledcpo4a