Ernst & Young LLP
Xinxin Yu is a Manager from the Quantitative Advisory Services group of Ernst & Young LLP (EY). She has been in the financial industry for five years, with a particular focus on margining of OTC derivatives, counterparty credit risk, regulatory capital, and other quantitative models. In addition, she is specialized in statistical modelling, including time series models, generalized linear models, survival analysis, panel data, Bootstrap, Monte Carlo simulation and Bayesian methods. She holds a Ph.D. in Statistics and a Master in Quantitative Finance from University of Wisconsin-Madison, a B.S. degree in Mathematics and Applied Mathematics from Zhejiang University (China).
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.