medium · FRM Part 2 Credit Risk
A Central Counterparty (CCP) manages the default of a large member.
According to the standard 'default waterfall' architecture, which of the following resources would be utilized LAST to absorb the realized losses?
- The CCP's own dedicated equity ('skin-in-the-game').
- The defaulting member's contribution to the mutualized default fund.
- The default fund contributions of non-defaulting (surviving) members.
- The Initial Margin (IM) posted by the defaulting member.
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