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Margining with Multiple Central Counterparties

Tuesday 23rd September 2014 - 11:30 to 12:15
INI Seminar Room 1
Session Title: 
Counterparty Networks
Co-authors: Paul Glasserman (Columbia University), Kai Yuan (Columbia University)

Spurred by regulatory efforts to mitigate systemic risk, many financial markets are shifting from a bilateral model of settlement towards central clearing. This is facilitated by a number of central counterparties (CCPs) that have recently emerged. We consider the issues that arise from the presence of multiple CCPs clearing a common set of financial products. In particular, we highlight a number of downstream consequences when such CCPs differ with respect to their margining policies.

University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons