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Only five of the 10 top central counterparties (CCPs) assessed by
Risk Quantum invest cash received from their clearing members into securities. Of these, three downsized their portfolios over the 12 months to end-September.
LCH Ltd, LCH SA, Ice Clear Europe, Ice Clear US and the futures and options unit of CME all disclosed that some amount of cash received as initial margin or default fund contribution from their members was invested as of Q3. LCH Ltd had the largest share of received cash
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At most leading central counterparties (CCPs), the amount of own capital they put on the line to cover losses in the event of a clearing members’ default is vanishingly small relative to that contributed by participants.
On average, CCP own funds made up a little less than 4% of prefunded default fund resources as of Q3.
Risk Quantum assessed data disclosed for 23 default funds across 10 top CCPs.
The Fixed Income Clearing Corporation (FICC) had the lowest amount of skin in the game (SITG) as
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The Japan Securities Clearing Corporation’s (JSCC) skin in the game increased more than 9% over the third quarter, following the integration of the Japan Commodity Clearing House (JCCH).
Own funds held by JSCC to handle a participant collapse amounted to ¥27.6 billion ($266 million) at end-September. This is up from ¥25.3 billion at end-June. The additional ¥2.4 billion was posted to cover the default of participants in the newly-integrated commodities clearing services.
The integration of
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Risk.net
Quant Finance Master’s Guide 2021
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Risk staff
Welcome to the latest edition of
Risk.net’s guide to the world’s leading quantitative finance master’s programmes, and ranking of the top 25 courses.
Forty-nine programmes feature in the 2021 edition of the guide, with the top 25 ranked in the table above according to
Methodology). The table below shows all 49 programmes – click on an institution’s entry in the table to access its full listing, featuring all programme data and interviews with course directors. A full list of all entries can also be found at the bottom of this page.