KDI 한국개발연구원 - 경제정책정보 - 발간처별 목록 - 경제분야 국제기구 - BIS - Model risk at central counterparties: Is skin-in-the-game a game changer?

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Model risk at central counterparties: Is skin-in-the-game a game changer?

BIS 2020.05.26
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We investigate empirically how the balance sheet characteristics of central counterparties (CCPs) affect their modelling of credit risk. CCPs set initial margin (IM), i.e., the collateral for transactions, to limit counterparty credit risk. When a CCP‘s IM model fails on a large scale, the CCP could fail too, losing its skin-in-the-game capital. We find that higher skin-in-the-game is significantly associated with more p rudent modelling, in contrast to profits (a proxy for franchise value) and forms of capital other than skin-in-the-game. The results may help to inform the ongoing policy debate on how to incentivise prudent credit risk management at CCPs.

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