News: LCH Swapclear Margin, the need for change and the impact27 May 2013 | Amir Khwaja
LCH SwapClear have implemented a change in their Initial Margin methodology and this article will discuss three elements that constitute the change:
- Historical look-back period, increased from 5Y to 10Y
- Relative scenarios changed to absolute scenarios
- Worst Loss to Expected Shortfall
For further details on the need for these changes and their impact, please click here Amir Sources:
- And following spells out the absolute and the expected shortfall change.