Ernst & Young LLP
Ming Shi is a Senior Manager from the Quantitative Advisory Services (QAS) group in the Financial Services Risk Management (FSRM) advisory practice of Ernst & Young LLP (EY). Ming has been leading the quantitative research of derivative pricing models, CVA and counterparty credit risk models, market risk models, funding costs and collateral modeling, and other development of quantitative methodologies. During his seven years with EY, he has been providing advisory services to leading financial institutions in the development and validation of quantitative models. He has also been assisting banking and capital markets clients navigate critical risk issues in an evolving regulatory landscape. Prior to EY, Ming obtained a Ph.D. in Mathematics from Rutgers University-New Brunswick, following MSc and BSc in Mathematics from Fudan University.
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.