OCC stands by margin model as regulators investigate

As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended

The SEC and CFTC are investigating the way OCC calculates margin requirements in light of breaches

Risk executives at two of the largest clearing houses are defending their margin methodologies as news emerges that US regulators are probing margin shortfalls at the Options Clearing Corporation in the first quarter of the year.

The Chicago-based OCC reported 38 margin breaches with an average size of $61.4 million during the first quarter – as flagged by Risk Quantum after the clearing house published standard disclosures at the end of June. The first-quarter breaches dwarfed the OCC’s

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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