Arbeitspapier
Empirical analysis of collateral at central counterparties
This paper studies the risk management of central counterparties (CCPs) using a granular transaction-level dataset. We test whether margining practices are sufficient relative to portfolio risk and whether CCPs reduce margin requirements in a "race-to-the-bottom." We find that, for some CCPs, margin breaches are predictable ex ante, but the portfolios of more interconnected clearing members are associated with higher margin holdings. While margin requirements increased significantly around the onset of the Covid-19 pandemic, controlling for portfolio and macro-financial variables, margin breaches did not. Our results indicate that changes in margins should be analyzed alongside margin breaches.
- ISBN
-
978-92-9472-238-6
- Sprache
-
Englisch
- Erschienen in
-
Series: ESRB Working Paper Series ; No. 131
- Klassifikation
-
Wirtschaft
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
International Financial Markets
- Thema
-
CCP
risk management
initial margin
variation margin
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grothe, Magdalena
Pancost, N. Aaron
Tompaidis, Stathis
- Ereignis
-
Veröffentlichung
- (wer)
-
European Systemic Risk Board (ESRB), European System of Financial Supervision
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2849/207957
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Grothe, Magdalena
- Pancost, N. Aaron
- Tompaidis, Stathis
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2021
Ähnliche Objekte (12)
The quality of eligible collateral, central bank losses and monetary stability : an empirical analysis
The quality of eligible collateral and monetary stability: An empirical analysis
Central clearing and collateral demand
The collateral policy of central banks : an analysis focusing on the Eurosystem
The Collateral Policy of Central Banks - An Analysis Focusing on the Eurosystem
Reexamining the empirical relation between loan risk and collateral: The roles of collateral characteristics and types
Transparency and collateral: Central versus bilateral clearing
Fire buys of central bank collateral assets
Measuring glutamate transients at Schaffer collateral synapses
Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral
Central Clearing: Why Do Collateral Requirements Need Regulations?
Collateral-Beweise
The quality of eligible collateral, central bank losses and monetary stability : an empirical analysis
The quality of eligible collateral and monetary stability: An empirical analysis
Central clearing and collateral demand
The collateral policy of central banks : an analysis focusing on the Eurosystem
The Collateral Policy of Central Banks - An Analysis Focusing on the Eurosystem
Reexamining the empirical relation between loan risk and collateral: The roles of collateral characteristics and types
Transparency and collateral: Central versus bilateral clearing
Fire buys of central bank collateral assets
Measuring glutamate transients at Schaffer collateral synapses
Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral
Central Clearing: Why Do Collateral Requirements Need Regulations?
Collateral-Beweise
The quality of eligible collateral, central bank losses and monetary stability : an empirical analysis
The quality of eligible collateral and monetary stability: An empirical analysis
Central clearing and collateral demand
The collateral policy of central banks : an analysis focusing on the Eurosystem
The Collateral Policy of Central Banks - An Analysis Focusing on the Eurosystem
Reexamining the empirical relation between loan risk and collateral: The roles of collateral characteristics and types
Transparency and collateral: Central versus bilateral clearing
Fire buys of central bank collateral assets
Measuring glutamate transients at Schaffer collateral synapses
Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral
Central Clearing: Why Do Collateral Requirements Need Regulations?