We propose a general framework for estimating the vulnerability to default by a central counterparty (CCP) in the credit default swaps market. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand nonpayment by its two largest counterparties, we study the direct and indirect effects of nonpayment by members and/or their clients through the full network of exposures. We illustrate the approach for the U.S. credit default swaps market under shocks that are similar in magnitude to the Federal Reserve’s stress tests. The analysis indicates that conventional stress testing approaches may underestimate the potential vulnerability of the main CCP for this market.

我们提出了一个总体框架，用于估算信用违约掉期市场中中央交易对手（CCP）违约的脆弱性。与传统的压力测试方法不同，传统的压力测试方法估计CCP承受两个最大交易对手的不付款的能力，我们通过成员和/或其客户通过整个风险敞口网络研究不付款的直接和间接影响。我们举例说明了在冲击方面与美联储压力测试相似的美国信用违约掉期市场的方法。分析表明，传统的压力测试方法可能会低估主要CCP对该市场的潜在脆弱性。