|Institution||Sorbonne University Paris1 PRISM|
|Your PhD supervisor name||Jean-Paul Laurent|
|Your thesis title||An assessment of CCP resilience under the new regulatory framework using public data
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|JEL Classification||G1, G2|
|Keywords||Finance, Financial Crisis, Regulation|
|Objectives||The research project focuses on financial stability issues related to systemic risk and counterparty credit risk in the context of central clearing counterparties. The changes and impact of the new regulatory frameworks (EMIR, Basel III, Dodd-Frank-Act) on the resilience of financial institutions, such as central clearing counterparties and banks, are analysed.|
|Design / methodology / approach||The approach is divided in three different sections. First, the regulatory Basel III framework is used to derive default probabilities for stressed scenarios to assess the financial resilience of a CCP. In a second study, systemic risk is studied by an event study approach.|
|Empirical findings / expected outputs||-In a crisis, central clearing counterparties may become a source of systemic risk.
-Risk management techniques (haircuts on repos, margin collateral haircuts) of central clearing counterparties may lead to procyclicality.
|Research contribution / practical implications / Originality||This project contributes to the emerging literature on central clearing counterparties. It covers different aspects of central clearing and studies implications for financial stability regulation.|
IFC-National Bank of Belgium Workshop on “Data needs and Statistics compilation for macroprudential analysis”
Brussels, Belgium, 18-19 May 2017
The European central counterparty (CCP) ecosystem
by Angela Armakolla, Université Paris 1 Panthéon-Sorbonne and LabEx ReFi,
and Benedetta Bianchi, Trinity College Dublin