Risk management of central counterparties
| Reference number | |
| Coordinator | Göteborgs universitet - Handelshögskolan Inst för nationalekonomi med statistik |
| Funding from Vinnova | SEK 1 632 000 |
| Project duration | March 2022 - April 2026 |
| Status | Completed |
| Venture | Financial Market Research |
| Call | Research on Financial markets 2022-2024 |
Important results from the project
The project has resulted in six papers: one peer-reviewed publication, two completed working papers available online, and three additional papers expected to be finalized in 2026. Two unpublished papers address the project’s main objectives: optimal collateral requirements and default funds for CCPs, and comparisons between cleared and non-cleared OTC trading. The results were presented at international conferences in Verona and Vienna in 2025.
Expected long term effects
The project is expected to provide tools for regulators and clearing houses to assess optimal CCP loss-absorbing capital and default waterfall design under current regulation and market practice. It also supports future research on whether higher collateral requirements increase default risks among clearing members and counterparties in non-cleared OTC networks. In addition, the project will hopefully contribute to the study of systemic risks arising from multiple CCPs sharing clearing members
Approach and implementation
The project was carried out through research and development of models for losses in OTC networks, both with and without a central counterparty (CCP). The work included probabilistic models and numerical studies implemented in Matlab. The project also involved analyses of regulations for initial margins in cleared and non-cleared derivatives markets. Results were presented at three international conferences in 2023 and 2025, and several working papers are available online.