Page 38 - 期貨和衍生品行業監管動態（2024年7月刊）
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期貨和衍生品行業監管動態
接面臨轉型風險，例如在商品和能源領域。目前，大多數接受抽樣調查的中
央對手方已開始將氣候風險納入其壓力測試框架中；
? 生態系統分析揭示了中央對手方及其清算會員的資源配置狀況，并表明與上
一次測試相比，所需保證金總額增加了 56%。
中央對手方壓力測試情景與結果
本次壓力測試涵蓋了共 16 家中央對手方，其中包含兩家被定級為第二層級
的英國中央對手方以及所有獲得授權的歐盟中央對手方。該測試評估了信貸和集
中度風險、流動性風險，并新增了一個針對氣候風險的評估部分。此外，該測試
通過一系列加強的結算生態系統分析得到了進一步補充。
下一步
根據《歐盟市場基礎設施監管條例》（EMIR）的規定，一旦發現評估中暴露
一個或多個中央對手方在韌性方面的不足，ESMA 將發布必要的建議。
ESMA’s Stress Test of Central Counterparties Finds Clearing System Resilient
(2024/7/9)
The European Securities and Markets Authority (ESMA), the EU’s financial
markets regulator and supervisor, has published the results of its fifth stress test
exercise for Central Counterparties (CCPs). The results confirm the overall resilience
of European Union (EU) CCPs, as well as third-country Tier 2 CCPs, to core credit
and liquidity financial risks under the tested scenarios.
New in this year’s exercise is the exploratory analysis of climate risk. The
exercise also included additional market stress scenarios, enhanced model risk
assessments for concentration, and extended reverse stress tests for credit and
liquidity.
Klaus L?ber, Chair of the CCP Supervisory Committee, said:
“ESMA’s fifth stress test confirmed the overall resilience of the European
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