MOSCOW, October 12. /PRIME TASS/. CJSC JSCB National Clearing Centre / has developed the stress testing techniques which take into account central counterparty risks, said Viktor Utkin, head of NCC, in his interview to PRIME TASS.

       “These techniques already produce quite reliable results. We are already using these techniques to conduct stress testing on a monthly basis”, noted Mr. V. Utkin, adding that monthly stress tests are not mandatory at present.

         According to Mr. Utkin, this testing focuses not only on standard banking risks, but also on the fact that NCC is a central counterparty in the MICEX currency exchange market.  “Apart from the standard banking risks, we also bear our specific central counterparty risk, the most intricate one. The central counterparty risk is realized in case if any trading participant defaults on its obligations, failing to deliver assets to its counterparty, another trading participant. We as a central counterparty have to secure such asset delivery by purchasing, borrowing or otherwise procuring the necessary assets. In doing so, we may incur losses resulting from the difference between the price at which we deliver the relevant assets to the non-defaulting counterparty (editor: transaction price) and the price at which we procure such assets. This is the risk we calculate”, noted V. Utkin. In addition, according to Mr. Utkin, NCC models a situation of 2 simultaneous or consecutive defaults on large transactions.

        Speaking about further prospects, NCC's senior executive mentioned that MICEX plans to introduce NCC as a central counterparty in other markets as well. Before it enters any new markets, NCC plans to develop appropriate stress testing techniques.