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 the Journal of Financial Market Infrastructures, Atsushi Maruyama, director of risk at Ice Clear

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