Article: IM calculation change imminent-ish

15 May 2018 | DRS LLP Feed

There is mounting pressure to revisit a fundamental aspect of the IM calculation methodology. The BCBS-IOSCO 2015 framework mandates an IM determination based on a 99% VAR over a fixed 10 day liquidation horizon[1]. ISDA have published a paper by Professor Rama Cont, Chair of Mathematical Finance at Imperial College London, which advocates for a […]

The blog post at DRS comments on the paper from the CFTC that fundamentally revisits how risk is measured and managed in the uncleared market. Worth a read, Bill.