Systemic risk in clearing houses: Evidence from the European repo market
We study how crises affect Central Clearing Counterparties (CCPs). We focus on a large and safe segment of the CCP-cleared repo market during the Eurozone sovereign debt crisis. We develop a simple model to infer CCP stress, which is measured as repo rates' sensitivity to sovereign credit defau...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier BV,
2020-09-22T14:11:29Z.
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| Subjects: | |
| Online Access: | Get fulltext |