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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net 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 individual account here: