Does a CCP really reduce counterparty risk

In this study, published in March 2015, the researchers ask themselves if a CCP is the go-to answer to mitigate counterparty risk.

The short answer is no. In some cases, a CCP is not beneficial for the users but it is done to suit the risk aversion of the regulators. This would explain why the OTC IRS market would not be moving towards a CCP if it would not be required to.

The study is conducted by Peter Zimmerman of the NY Federal Reserve and Rodney Garratt of the University of Oxford.

Read the full article here

Estimating the joint tail risk with Filtered Historical Simulation

This study, conducted by the Swiss Financial Institute of the University of Lugano, explores  Filtered Historical Simulation to estimate the potential losses a CCP would face in case of a multiple default.

Click here for the study