Lauren W. Wong is the Head of Quantitative Risk Management at the Options Clearing Corporation. His professional experience is in financial risk management with strong focus on financial risk modeling, analytics, and infrastructures across banking and clearing. Prior to joining the Options Clearing Corporation, he worked at Bank of America, Morgan Stanley, Barclay Capitals, and Lehman Brothers. He holds a PhD degree in physics from the University of California, Los Angeles and a Master of Financial Engineering degree from Haas School of Business at the University of California, Berkeley.
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.