NLM-CD: a regime-conditional neighbourhood linkage method for central counterparty risk classification
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.
Authors
- Hari Hara Krishna Kumar Viswanathan (ORCID: https://orcid.org/0000-0002-4147-5139)
- Kala Nisha Gopinathan (ORCID: https://orcid.org/0000-0001-8141-0455)
- Ernest Johnson
Institutions
- JPMorgan Chase & Co (United States) (US)
- University of Regina (CA)
- Ospedale Cristo Re (IT)
Publication Details
- Journal
- Journal of Derivatives and Quantitative Studies 선물연구
- Published
- 2026-08-26
- DOI
- https://doi.org/10.1108/jdqs-03-2026-0024
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 0.00