Cutting Edge introduction: Taming MVA

Lloyds quants tackle computation of margin add-on for derivatives prices


One of the next big steps in the regulation of derivatives counterparty risk will be the phasing-in of margin requirements for non-centrally cleared derivatives, due to start next year under rules laid out by the Basel Committee on Banking Supervision and the International Organization of Securities Commissions. The result will be an increase in margin requirements which are already rising following the start of mandatory clearing in the US – so it is no surprise a corresponding valuation adju

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: