Bio

Alper Odabasioglu is a Senior Economist in the Market Infrastructures Oversight division at the Bank of Canada. He holds a Ph.D. degree in Finance from the Swiss Finance Institute. Prior to his current position, he was a policy-oriented researcher and risk specialist at the Systemic Risk Centre of London School of Economics and Political Science for three years. Before that, he worked in the financial sector as a consultant, and earlier as a database expert and software developer.

His research and policy interests focus broadly on financial market infrastructures, systemic risk, banking, and financial markets, with the emphasis on CCPs, derivatives, procyclicality, repo clearing, shortened settlement cycles, DeFi/DLT, cross-border payments, CCP recovery & resolution, climate risk, and system-wide stress testing, with the aim to contribute to financial stability & regulation, macro-prudential policy, and quantitative risk management.

Research Field(s): Agent-Based Modelling Banking Economic and Financial Networks Financial Economics Financial Institutions Financial Markets Fintech Information and Uncertainty Market Microstructure Payments Economics Risk Management

Staff discussion papers

Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters

Staff Discussion Paper 2023-34 Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.
Content Type(s): Staff research, Staff discussion papers Topic(s): Coronavirus disease (COVID-19), Credit risk management, Financial institutions, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): G, G0, G01, G2, G23, G28

See More