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Central Counterparties: Mandatory Central Clearing and Initial Margin Requirements for OTC Derivatives by Jon Gregory

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References

Albanese, C., F. D’Ippoliti and G. Pietroniero, 2011, ‘Margin lending and securitization: regulators, modelling and technology’, working paper.

Artzner, P., F. Delbaen., J.-M. Eber., D. Heath, 1999, ‘Coherent measures of risk’, Mathematical Finance 9 (July), pp 203–228.

Bank for International Settlements (BIS), 2010, ‘Standards for payment, clearing and settlement systems: review by CPSS-IOSCO.’ Press Release, 2 February, http://www.bis.org/press/p100202.htm.

Bank for International Settlements (BIS), 2013a, Statistical release: OTC derivatives statistics at end-December 2012’, May, http://www.bis.org/publ/otc_hy1305.pdf.

Bank for International Settlements (BIS), 2013b, ‘Macroeconomic Impact Assessment of OTC derivatives regulatory reforms’, August, http://www.bis.org/publ/othp20.htm.

Basel Committee on Banking Supervision (BCBS), 2004, ‘Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework’, June, http://www.bis.org/publ/bcbs107.htm.

Basel Committee on Banking Supervision (BCBS), 2009, ‘Revisions to the Basel II market risk framework’, July, http://www.bis.org/publ/bcbs158.pdf.

Basel Committee on Banking Supervision (BCBS), 2010, ‘Capitalisation of bank exposures to central counterparties – initial consultative document’, December, http://www.bis.org/publ/bcbs190.htm.

Basel Committee on Banking Supervision (BCBS), 2011a, ‘Basel III: a global regulatory framework for more resilient banks and banking systems – revised version’, ...

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