在一般情况下, 存 Market Risk Management is responsible for the day‐to‐day tasks and activities that help identify, 测量, 监控, 管理, and mitigate the credit/market risk to which FICC, NSCC, and 直接转矩 (collectively, the 清算 Agencies) are exposed. These activities include:
- 建立, 监控, and maintaining risk-based margin systems at NSCC and FICC as Central Counterparties (the CCPs)
- Monitoring Member/Participant activity, collateral and margin amounts
- Surveillance of established thresholds, including back testing and stress testing
- 建立, 监控, and maintaining collateral haircuts and concentration limits
- 建立, maintaining, and enforcing procedures designed to limit credit/market risk
More specifically, the 存 Market Risk Management program is designed to help ensure that the 清算 Agencies each maintain sufficient financial resources to cover each 清算 Agency’s credit exposure to each member or participant fully with a high degree of confidence under a wide range of foreseeable stress scenarios, including the default of the member or participant family that would potentially cause the largest aggregate credit/market exposure to the 清算 Agency in extreme but plausible market conditions (a Cover One obligation).
在中央控制中心, risk 管理ment is the foundation supporting the trade guarantees that the CCPs provide to their members. A core function of the CCPs is to complete securities transactions on behalf of their members, notwithstanding the failure of a member, t在这里by reducing the risk of loss of such failure. If a CCP member cannot or will not complete settlement of a transaction guaranteed by the CCP, then the CCP will step in to complete it.
Similarly at 直接转矩, which is not a CCP, risk 管理ment focuses on assessing and mitigating the risk presented to 直接转矩 by its participants and their potential default or operational failure, and managing 直接转矩’s Participants Fund, which serves as a liquidity resource for 直接转矩 in the event of losses or liabilities incident to participant activity.
These activities are described further in the 存 清算 Agency Disclosure 框架s for Covered 清算 Agencies and Financial Market Infrastructures – CPMI-IOSCO Principles 4-6 and Covered 清算 Agency Standards (e)(4)-(6). For more information about the Market Risk Management practices at the Government Securities Division of FICC, 请点击 在这里.
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