CCP margin buffers too big, research suggests
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
Regulatory minimums that underpin the way clearing houses set initial margin requirements – designed to prevent the sudden ramping up of margins when prices collapse, making a crisis worse – may be needlessly conservative, constraining liquidity by tying up collateral and potentially discouraging market participants from clearing, two senior CCP risk experts have argued.
In research published in
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