Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
Maverick clearing house boss dismisses the need for anti-procyclicality tools imposed by regulators
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
Risk Awards 2021: bank avoided tech snags and margin call surprises that plagued peers during crisis
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management
Dynamically adjusting margin add-ons could reduce cyclical funding demands
Tweaking discretionary capital buffers won’t address all the prudential issues raised in 2020
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Clearers must strike balance between countercyclicality and sensitivity to risk
In this paper, we explore the procyclicality of initial margin requirements based on VaR volatility models.We suggest procyclicality can be reduced using a three-regime model rather than using ad hoc tools.
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
Mortgage backtest study shows some loan-loss models miss the mark
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
This paper investigates whether the substantial focus placed on the procyclicality of initial margin reflects both the original concerns at the time of the 2007-8 financial crisis and the intrinsic 'modus operandi' of CCPs.
Standard-setter’s top staffer is moving on. He wants industry to do the same
Dutch firms have more than 25% of total assets tied up in non-traditional investments
In total, EU states hiked CCyB rates 13 times last year, up from six in 2017
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club