摘要翻译：
中央对手方(CCP)的结算成员面临违约基金和初始保证金缴款的损失。当CCP没有足够资金解套违约结算会员的投资组合时，就会发生此类损失。这并不一定需要CCP本身的违约。在这份报告中，我们旨在量化金融机构面临CCP时的风险。我们表明，一个结算会员的CCP风险是由每个其他结算会员的风险总和给出的。这是因为每个成员都以相互分担损失的抵押品的形式提供了隐性违约保险。我们通过显式建模CCP的资本结构以及单个成员投资组合的损失分布来计算风险敞口。在设计模型时，一个重要的考虑因素是单个结算成员的投资组合组成和抵押品水平的透明度有限。为了克服这一点，我们利用了这样一个事实，即对于典型的CCP来说，保证金水平是基于风险的。特别是，我们将投资组合损失尾部参数化为帕累托分布，并将其校准为CCP定义的损失超过公布的初始保证金水平的概率。该模型的一个关键方面是我们明确考虑了错误方式风险，即在紧张的市场条件下，成员违约更有可能发生，以及成员违约与其投资组合损失之间的潜在传染。
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英文标题：
《Central Counterparty Risk》
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作者：
Matthias Arnsdorf
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member. This does not necessarily require the default of the CCP itself. In this note we aim to quantify the risk a financial institution has when facing a CCP.   We show that a clearing member's CCP risk is given by a sum of exposures to each of the other clearing members. This arises because of the implicit default insurance that each member has provided in the form of mutualised, loss sharing collateral. We calculate the exposures by explicitly modeling the capital structure of a CCP as well as the loss distributions of the individual member portfolios.   An important consideration in designing the model is the limited transparency with respect to the portfolio composition and collateral levels of individual clearing members. To overcome this we leverage the fact that, for a typical CCP, margin levels are risk-based. In particular, we parameterise the portfolio loss tail as a Pareto distribution and we calibrate this to the CCP defined probability of losses exceeding the posted initial margin levels.   A key aspect of the model is that we explicitly take into account wrong-way risk, i.e. the fact that member defaults are more likely to occur in stressed market conditions, as well as potential contagion between a member's default and the losses on his portfolio.
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PDF链接：
https://arxiv.org/pdf/1205.1533