Margin models
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Banks win concessions in battle over CCP margin models
European Commission proposal would shine light on clearing house margin charges
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Clearing house innovation of the year: Nodal Clear
Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
Regulators to put CCP risks under microscope
CPMI-Iosco stress-testing quiz will be precursor for broader risk review