Lehman’s ghost: how three CCPs anchor models to crash
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
“Listen to me very carefully,” Robert De Niro’s mobster tells John Bloom’s hapless lieutenant in the 1995 gangster flick Casino. “There are three ways of doing things around here: the right way, the wrong way, and the way that I do it.”
That sums up the choices the three largest over-the-counter rates clearing houses have made when hardwiring the decade-old default of Lehman Brothers into their initial margin (IM) models.
Beyond regulatory minimums, there are no right or wrong ways of setting
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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
Derivatives
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
Receive this by email
Most read on Risk.net
- As crypto collapses, a major lender quadruples borrowing costs
- DRW calls for regulation of fiat-backed stablecoins
- Ex-Deutsche CRO: banks face hundreds of billions in climate fines
- Podcast: Ritter on optimal execution and reinforcement learning
- BofA, Citi among hardest hit in latest Fed buffer review