Article: GCSA Capital: the CCP underwriter

04 December 2014 | Risk Magazine Feed

Bill: People with long memories will know that LCH used to have an insurance policy as part of the Default waterfall, which fell away many years ago. Lo and behold David Hardy ex-CEO of LCH has come up with a plan to integrate an insurance based payout into the Default Waterfall again, but this time with tighter integration between the risk model and default fund, and the payout of the insurance. Sort of like selling an option on your risk modelling, you pay a premium for an option who's strike is an Event of Default, where the payout is regularly calibrated back to the underling IM and DF models.


A consortium of 20 insurers is offering to cover CCP tail risk