Can CCPs zone in on improved margin buffers?

‘Save for a rainy day’ goes the idiom, encouraging people to save in good times to better manage difficult ones. In much the same way, central counterparties (CCPs) use margin buffers to prevent collateral demands from spiking during volatile times, helping reduce funding draws on their members. Still, some industry representatives argued that CCP margin buffers may not be appropriately sized.

One solution would be sizing them by tying them to relevant risk factors and/or having predefined

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Derivatives

Axes that matter: PCA with a difference

Differential PCA is introduced to reduce the dimension in derivative pricing problems