Risk Management

What happens to my exchange traded derivatives (ETD) margin when there’s a big market move?

When asking most traders this question, the common assumption is ‘a large increase in margin.’

However, the impact of market moves on margin depends upon the type of margin; Initial Margin or Variation Margin. Each are impacted by large market moves differently.

Almost all ETD CCPs use the SPAN (or a SPAN like) methodology for margin calculations. The one exception to this is Eurex that has switched to use a VaR based methodology.

The OTC Derivatives Market Size is about to shrink via a CFTC proposal

We all know using notionals to measure the size of the OTC market leads to crazy headlines, so the CFTC has a cunning plan for that

How should you assess the effectiveness of risk management?

If an organization seeks to perform at world-class levels, it needs to have highly effective processes and practices for managing what might happen – risk. They should be assessed and the results shared with the board by several: The CEO, perhaps delegated to the COO or CFO The chief risk officer (if there is one) […]

Initial Margin Attribution

Bill: The post below starts to tackle the tricky puzzle of breaking out the total IM for a portfolio into the contribution by particular products or desks. Easy enough to treat each unit separately for IM, but harder to figure out how to account for the netting effect when combined as a whole, as the sum of the parts doesn't equal the total.

The Dog and the Boomerang: in defence of regulatory complexity

Joseph Noss and David Murphy

11th OTC Derivatives Summit: The Annual Meeting of the Global Fixed Income Institute at Pennyhill Park Hotel

The OTC Derivatives Summit of the Global Fixed Income Institute is an annual event which has now been running for over ten years. Those in the know refer to the Summit informally as the Pennyhill Park event – where a group of the most senior buy- and sell-side individuals debate (in private) the latest challenges running an OTC derivatives business.

Webinar Video Recording Available

On the 30th of March Razor Risk broadcast a webinar explaining the background to FRTB, the timeline for readiness, and showed a live demo of our platform

Risk Americas 2017: 15% Discount for OTC Space Readers

America’s leading and premier risk and regulation Convention returns to the New York Hilton Midtown over four days: OTC Space registered readers can access a 15% discount code.

Don't miss this: Achieve FRTB compliance quickly and cost effectively: Live Demo Webinar

Razor Risk will also provide high level demonstrations of their “off the shelf” solution that will sit between existing Market Risk and Front Office pricing tools so that the firm can maintain BAU processes whilst preparing for the Fundamental changes that BCBS 352 will require. The Webinar is targeted at all involved stakeholders, bringing together the major drivers behind Business Users (Risk Managers), Front Office Capital Consumers, FRTB Programme Managers and Technology Implementation Teams whether the firm is going for a Standardised Approach (SA) or a combination of SA and Internal Model Approvals (IMA).

Risk EMEA 2017: 15% Discount for OTC Space Readers

With three streams running throughout the day, including 'Fundamental Review of the Trading Book', 'Capital Management', and 'Credit Risk'. OTC Space registered readers can access a 15% discount on registration.