Clearing banks pick holes in VAR-based CCP margin models
New models ease cliff effects, but banks say they are less predictable and prone to undershooting
Executives at two large clearing banks have joined the chorus of voices complaining about the difficulty of predicting and explaining the outputs of value-at-risk models used by central counterparties (CCPs).
The move to VAR has made margin modelling “much more complicated”, said Amy Elliott, Americas head of exchange-traded derivatives at UBS: “It’s less transparent, so when you have periods of
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