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Title: Quantification of Central Counterparty Risk: A Clearing Member’s Perspective
Authors: She, Michael
Advisors: Sircar, Ronnie
Department: Operations Research and Financial Engineering
Class Year: 2014
Abstract: As central counterparties (CCPs) become more integral in modern financial markets for OTC derivatives, it is essential to understand and measure not only the risks they pose to the rest of the financial system, but also the risks they pose to the individual financial institutions that clear with them. This paper will address the particular issue of quantifying CCP risk from the perspective of a clearing member through a bottom-up model for the interaction between a CCP and its individual clearing members.
Extent: 120
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2017

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