In the presentation 'Crowded Risk as a Systemic Concern for Central Clearing Counterparts' at the 10th Tinbergen Institute Conference 2015, Albert J. Menkveld (VU University Amsterdam & Tinbergen Institute), illustrates how an alternative margin methodology is proposed as an appropriate central clearing party (CCP) tail risk measure. Here you can see the slides Menkveld used.
Albert Menkveld is Professor of Finance at VU University Amsterdam and Fellow at the Tinbergen Institute. Albert's research agenda is focused on securities trading, liquidity, asset pricing, and financial econometrics.
The objective of the Tinbergen Institute Conference 2015 was (1) to introduce a broad economic public to the complex systems approach, in particular applied to macroeconomic and financial systems; and (2) to increase understanding and foster collaboration between the different sciences in the analysis of economics and finance.
Check out the presentation for more...