Estimating the riskiness of OTC derivatives CCPs August 19, 2013 at 1:39 pm

There’s a post on the CDO pricing methodology for estimating OTC derivatives CCP riskiness over on the RegTech blog here. Regular DEM readers won’t find anything new – we just outline how to think of a CCP as a CDO, with collateral assets the derivatives receivables and tranches corresponding to the various amounts in the CCP’s default waterfall.

2 Responses to “Estimating the riskiness of OTC derivatives CCPs”

  1. They spelled your name wrong

  2. Cheers, that has been fixed.