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Simon Skok: Counterparty risk management for central counterparties after the global financial crisis

Date: 5. 6. 2017
Source: Seminar for probability, statistics, and financial mathematics
Četrtek, 8. junija 2017, ob 14:30 v predavalnici 3.06 na FMF, Jadranska 21, Ljubljana

V četrtek, 8. junija 2017, ob 14:30 bo v predavalnici 3.06 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje Simona Skoka z naslovom Counterparty risk management for central counterparties after the global financial crisis.

Abstract: The role of a Central Counter-Party (CCP) in the aftermath of the 2008 Global Financial Crisis (GFC) will be discussed in relation to the conflict of interests with their clearing members, the repo markets and the alignment of risk management practices with the desired policy goals. Historic development of
CCP’s and securitization process will be presented, providing a somewhat new conceptual interpretation of the GFC and it’s aftermath, including the response of central banks representing the second major policy shift. The concepts of liquidity, leverage and informational-insensitivity are explored as the basis of this interpretation.
We will argue that the same structural deficiencies which have led to the GFC are now being institutionalized in the form of a CCP. In addition, the similarities of a CCP with a credit rating agency and a central bank are presented to substantiate our concerns on the robustness of such systemic risk stabilizing mechanisms. As an interesting outgrowth of our research, the natural interpretation of the currently present negative interest rates is presented along with possible consequences for the developments of financial markets looking through the prism of the above listed fundamental concepts.