Norges Bank paper proposes linking CCP risk management to capital charges
Author proposes higher capital charges for CCPs with weaker risk management
Authorities should improve their stress testing of central counterparties (CCPs) and vary capital charges based on the quality of a CCP's risk management, a paper published on November 30 by Norges Bank argues.
The end of the waterfall: default resources of central counterparties, by Rama Cont, looks at how to improve the stability of CCPs, which sit at the centre of large numbers of transactions, potentially concentrating risk.
Cont says supervisors should stress test CCPs not just individually
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