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NLM-CD: a regime-conditional neighbourhood linkage method for central counterparty risk classification

Year: 2026

Type: article

Abstract: Existing central counterparty risk models treat clearing members as homogeneous and assume static risk parameters, ignoring the regime-dependent nature of member risk profiles. This paper proposes NLM-CD (neighbourhood linkage method – conditional distance), a regime-conditional agglomerative clustering algorithm that classifies clearing members by risk profile across distinct market states.

Source: Journal of Derivatives and Quantitative Studies 선물연구

DOI: 10.1108/jdqs-03-2026-0024

Authors: Kala Nisha Gopinathan, Hari Hara Krishna Kumar Viswanathan, Ernest Johnson

Institutions: JPMorgan Chase & Co (United States), University of Regina

Language: English

Topic: Banking stability, regulation, efficiency

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W7204226667

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Cites: 22

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