| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13604 |
| DP13604 Stress Testing Networks: The Case of Central Counterparties | |
| Richard Berner; Stephen Cecchetti; Kim Schoenholtz | |
| 发表日期 | 2019-03-20 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Stress tests applied to individual institutions are an important tool for evaluating financial resilience. However, financial systems are typically complex, heterogeneous and rapidly changing, raising questions about the adequacy of conventional tests. In this paper, we interpret the current stress test practice from a network perspective, highlighting central counterparties (CCPs) as an example of a critical network hub. Networks that include CCPs involve deep and broad interconnections, making stress testing a challenging task. We propose supplementing both private and supervisory CCP stress tests with a high-frequency indicator constructed from a market-based estimate of the conditional capital shortfall (SRISK) of the CCP’s clearing members. Applying our measure to two large CCPs, we analyze how they can transmit and amplify shocks across borders, conditional on the exhaustion of prefunded resources. Our results highlight how the network created by central clearing can act as an important transmission mechanism for shocks emanating from Europe. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Stress testing Financial network Central counterparties Ccp Financial stability Srisk Financial regulation Resolution |
| URL | https://cepr.org/publications/dp13604 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542463 |
| 推荐引用方式 GB/T 7714 | Richard Berner,Stephen Cecchetti,Kim Schoenholtz. DP13604 Stress Testing Networks: The Case of Central Counterparties. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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