Managing clearinghouse risk for NDF cleared contracts : Validating the HS/VaR method for NDF FX CCP Clearing risk

Abstract: In this thesis we describe and discuss the reality for a central clearing party clearinghouse. The importance of sound risk management is discussed. We specifically validate the usage of a Historical Simulation/VaR approach for managing the risk when acting as a CCP for the Non Delivery Forward FX instrument. The method is back tested and some alternative approaches are proposed.