PREPARATION – LPFMI CCP stress cases review

All,

This is the second of two webinar series to prepare for YSI LPFMI and our conference Sun. 27. – Wed. 30. Oct. 2019 in Chicago in conjunction with the Fed Chicago CCP conference Tue. 29. Oct. 2019. This series is to spark independent thinking for scholars and potential candidates for the topic of LPFMI research on CCP / derivative markets.

In this series, we'll be focusing on case studies regarding CCP stress situations – the HK 1987 failure and the NZ 1989 quasi failure. We will first read the below papers to get an understanding and prepare a broad set of questions. In a second webinar, we will be debriefing with Sunil Cutinho, CME directly. Bazil Sansom, YSI member and Gerhardt "Kiko" Kalterherberg, FS WG Organizer will lead this effort.

Jay and Kiko

PS: If you have missed our LPFMI introduction presentation, you can find it here. For a recording of this presentation, please press here.

==> All papers are saved on dropbox at the below address. Just inquire access via dropbox. Most of the papers below are not accessible freely – https://www.dropbox.com/home/Liquidity%20Project%20FMI/CCP_stress_case_studies_with_Sunil_Cutinho

DISCUSSED CASE STUDIES
1) 2015 [b], “Central counterparties in crisis: the Hong Kong Futures Exchange in the crash of 1987,” Journal of Financial Market Infrastructures, Vol. 4, No. 2 (December), pp. 73-98, abstract available at:
https://www.risk.net/journal-of-financial-market-infrastructures/2437961/central-counterparties-in-crisis-the-hong-kong-futures-exchange-in-the-crash-of-1987

2) Budding, Edwin, Robert. T. Cox, and David Murphy, 2016, “Central counterparties in crisis: International Commodities Clearing House, New Zealand Futures and Options Exchange and the Stephen Francis Affair,” Journal of Financial Market Infrastructures, Vol. 4, No. 3, pp. 65-92, abstract available at:
https://www.risk.net/journal-of-financial-market-infrastructures/2449612/central-counterparties-in-crisis-international-commodities-clearing-house-new-zealand-futures-and-options-exchange-and-the-stephen-francis-affair

REQUIRED FURTHER READING FOR BETTER UNDERSTANDING
3) Cox, Robert T., 2015 [a], “Cave quid optes: waterfalls and central counterparty capital,” Journal of Financial Market Infrastructures, Vol. 3, No. 4 (June), pp. 63-71, abstract available at:
https://www.risk.net/journal-of-financial-market-infrastructures/2413557/cave-quid-optes-waterfalls-and-central-counterparty-capital

4) Budding, Edwin, & David Murphy, 2014, “Design Choices in Central Clearing: Issues Facing Small Advanced Economies,” Reserve Bank of New Zealand, Analytical Note Series No. AN2014/08 (December), available at:
https://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Analytical%20notes/2014/an2014-08.pdf