Michael Wood

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

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Managing Market Liquidity Risk in Central Counterparties

Number of pages: 19 Posted: 20 Jul 2017
Evangelos Benos, Michael Wood and Pedro Gurrola-Perez
Bank of England, Bank of England and Bank of England
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Abstract:

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Central Counterparties (CCPs); Initial Margin; Liquidity Risk; Concentration Add-Ons; Margin Period of Risk (MPOR)