Quant Congress Europe: BM&F Bovespa uses close-out model to cut margin


A senior quantitative analyst hired to review a new margin methodology for the four clearing houses of Brazilian exchange BM&F Bovespa – which are being merged into a single entity this year – has discussed the design behind it, and argued its benefits could be enjoyed by other central counterparties (CCPs), potentially generating huge margin savings for users.

Speaking at Risk's Quant Congress Europe in London, Marco Avellaneda, professor of mathematics at New York University and a partner at F

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