triBalance and Quantile users call for better post-trade co-ordination between dealers
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
Institutions in Asia have a narrowing window to plan for initial margin regime
CCPs with EU bank licences currently run leverage ratios of less than half the minimum
EU banks using opinion for margin exemption, at possible cost of capital savings
This paper is meant to serve as a comparison of the approaches and margin models employed by CCPs.
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
In richer test, ‘filtered’ VAR beats five other measures
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The country has equivalence agreements with Canada and the US, but not Europe
Banks take aim at margin and trade-flow lag that can cause 95% of counterparty risk
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Internal transactions contributing “substantial” amount of banks’ initial margin requirement
Dealers have different approaches to pricing dividend risk factors
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
Changes pinned on CCP’s lack of access to Fed deposit account
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Novation lag holds up clearing of forex products; some say dealers are dragging feet
Margining non-cleared derivatives a “massively under-optimised space”, says Digital Asset chief
The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidence
This paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.
Quantile, LMRKTS, Capitalab and triBalance jostle for supremacy in IM optimisation
Failure of big clearing brokers could see clients unable to move to stable competitors