Risks Caused by CCPs: Risk Faced by CCPS
3 important questions on Risks Caused by CCPs: Risk Faced by CCPS
Non default loss events?
- fraud
- operational (business disruption)
- legal (litigation or legal claims)
- Investment (from margins etc.)
Market disturbance??
- operational (business disruption)
- legal (litigation or legal claims)
- Investment (from margins etc.)
Market disturbance??
What about model risk?
Model risk through marginging approaches? Yes!! Misspecifcation or pricing based on tail, volatility, complexity and wrong-way risk. Procyclicality!!! Margin multipliers... Penalise large and concentrated positions
Operation and legal risk?
a CCP can expose participants to additional risks, such as system failure and fraud.
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