Practitioner Seminar with Nicki Søndergaard Rasmussen, Danske Bank
The next FRIC Practitioner Seminar features Nicki Søndergaard Rasmussen, Danske Bank
Nicki Søndergaard Rasmussen will present:
Default Risk Management on CCPs.
The clearing of certain over-the-counter derivatives on CCPs is being required through the recent regulation. The CCPs show their true value in the event of a default of one of its members. In this talk we investigate the following questions: How are defaults handled by CCPs? What is different from the bilateral setting? What is the role and responsibility of a Clearing Member? How are losses absored into the Waterfall structure of the CCP? How are Clearing Members incentivised to participate in hedging and auctions during the default management process?