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  1. Indicators for the monitoring of central counterparties in the EU
    Author: Alfranseder, Emanuel; Fiedor, Paweł; Lapschies, Sarah; Orszaghova, Lucia; Sobolewski, Paweł; Bianchi, Benedetta; Borra, Sophia; Liegler, Maximilian; Marmara, Pierre; Sowiński, Andrzej
    Published: [2018]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    This ESRB Occasional Paper complements the publication of indicators on central counterparties (CCPs) in the ESRB's Risk Dashboard as part of its monitoring framework. It provides a methodological background to the development of the individual... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 612
    Inter-library loan:
    No inter-library loan

     

    This ESRB Occasional Paper complements the publication of indicators on central counterparties (CCPs) in the ESRB's Risk Dashboard as part of its monitoring framework. It provides a methodological background to the development of the individual measures and discusses different aspects that should be considered when designing a monitoring framework for CCPs. The paper also highlights a number of areas in which more granular data are required in order, for example, to monitor the interconnectedness of CCPs within the broader financial system.CCPs play a key role in financial markets, as they reduce counterparty credit risk. This role is now heightened following post-crisis reforms of the over-the-counter (OTC) derivatives markets. Since CCPs may be viewed as systemically important institutions, it is crucial to ensure that they are regulated and monitored effectively. The ESRB has, therefore, sought to strengthen the framework used to analyse developments at CCPs in the EU from a macroprudential perspective.Each monitoring framework relies on the availability of suitable data. It is therefore positive that CCPs publish data on a quarterly basis under the CPMI-IOSCO public quantitative disclosure framework. These data provide a rich source of information covering several aspects of CCPs' functioning and are the basis of the indicators the ESRB has developed to analyse developments in central clearing in the EU.The indicators are designed to provide a macroprudential view over time of CCPs' resources, liquidity and collateral policies, margin and haircut requirements, interoperability arrangements as well as market structure and concentration at CCP level. The indicators cover all CCPs that are authorised within the EU, although the values of individual measures across CCPs should be analysed and interpreted with caution, bearing in mind that there are significant differences between individual CCPs’ business models, membership structures and products cleared.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789294720399
    Other identifier:
    hdl: 10419/193609
    Series: Occasional paper series / European Systemic Risk Board ; no 14 (March 2018)
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  2. From the horse's mouth
    surveying responses to stress by banks and insurers
    Author: Brinkhoff, Jeroen; Langfield, Sam; Weeken, Olaf
    Published: [2018]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 612
    Inter-library loan:
    No inter-library loan

     

    Existing stress tests do not capture feedback loops between individual institutions and the financial system. To identify feedback loops, the European Systemic Risk Board has developed macroprudential surveys that ask banks and insurers how they would behave in a macroeconomic stress scenario. In a pilot application of these surveys, we find evidence of herding behaviour in the banking sector, notably concerning credit retrenchment. Results show that the consequences can be large, potentially undoing the initial effects of banks' remedial actions by worsening their solvency position. In contrast, insurers' responses to the survey provide little evidence of herding in response to macroeconomic stress. These results highlight the usefulness of macroprudential surveys in identifying feedback loops.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789294720399
    Other identifier:
    hdl: 10419/193610
    Series: Occasional paper series / European Systemic Risk Board ; no 15 (April 2018)
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen