Yang Zhang is an Associate Principal in the Quantitative Risk Management at the Options Clearing Corporation. Prior to joining the Options Clearing Corporation, she worked as a Post-doctoral Research Fellow in the Finance Department at Kellogg School of Management, Northwestern University. Her research focuses on utilizing derivative-based market indicators in financial risk management and empirical asset pricing. She holds a PhD degree in Finance from Durham University Business School in the United Kingdom.
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.