OCC quants tout anti-procyclical margin method

Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity

Digital data

Two quants at one of the world’s largest clearing houses believe they have come up with a remedy for one of the thorniest challenges facing their industry: how to stop initial margin models, designed to protect against future risk exposure, from ramping up too dramatically when volatility suddenly spikes?

In a paper published in the Journal of Risk, Lauren Wong and Yang Zhang, two quants from the Options Clearing Corporation (OCC), propose a dynamic approach to risk-based margining which they

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

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