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
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978-92-9472-238-6
- Language
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Englisch
- Bibliographic citation
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Series: ESRB Working Paper Series ; No. 131
- Classification
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Wirtschaft
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
International Financial Markets
- Subject
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CCP
risk management
initial margin
variation margin
- Event
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Geistige Schöpfung
- (who)
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Grothe, Magdalena
Pancost, N. Aaron
Tompaidis, Stathis
- Event
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Veröffentlichung
- (who)
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European Systemic Risk Board (ESRB), European System of Financial Supervision
- (where)
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Frankfurt a. M.
- (when)
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2021
- DOI
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doi:10.2849/207957
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Grothe, Magdalena
- Pancost, N. Aaron
- Tompaidis, Stathis
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Time of origin
- 2021