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Risk Management

How estimating CCP margins could save you millions

What makes your initial margin volatile?

If you run a ‘buy and hold’ strategy you don’t expect your initial margin requirement to change much. You would even hope that margin would progressively fall over time as the duration decreases. But, this isn’t always the case…sometimes you will see big step changes in margin that can be as much as 100% –  a lot of potential capital to […]

The post What makes your initial margin volatile? appeared first on OpenGamma.

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Forget the headlines: What you really should know about the nasdaq default

You’ve probably seen the headlines about the trader who blew ‘€100m hole in Nasdaq’s Nordic power market’. This was a timely reminder of the potential impact of market defaults, coming as it did 10 years after the failure of Lehman Brothers. Every clearing house member rightly worries about their contribution to the mutual default fund being used to cover losses […]

The Model Risk Management Forum is Next Week. Special Offer for Readers

The OTC Space is pleased to invite you to the Model Risk Management Forum on 19-20 September in London. Get to grips with the best practices and emerging innovations of model risk management and governance, and get a 15% discount on tickets as a guest of The OTC Space.

Did you ever need to link an ISIN to an LEI?

ANNA

...well soon you can:

The Association of National Numbering Agencies (ANNA) and the Global Legal Entity Identifier Foundation (GLEIF) today have announced the signing of a new initiative to link International Securities Identification Numbers (ISINs) and Legal Entity Identifiers (LEIs). The initiative has been created to help improve transparency of exposure by linking the issuer and issuance of securities.

ISDA Publishes ISDA SIMM™ 2.1

ISDA has published the ISDA SIMM™ Methodology, version 2.1, with an Effective Date of December 1, 2018. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.   It also includes a calibrated historical volatility ratio for the interest rate asset class.

The Model Risk Management Forum

The OTC Space is pleased to invite you to the Model Risk Management Forum on 19-20 September in London. Get to grips with the best practices and emerging innovations of model risk management and governance, and get a 15% discount on tickets as a guest of The OTC Space.

Webinar: Simplify SIMM Sensitivities with triCalculate

Join this webinar Tuesday 24 April where we’ll discuss how triCalculate can provide your SIMM™ sensitivities quickly, easily and cost-effectively.

Incentivizing Post-trade Risk Reduction

Post-trade risk reduction has become increasingly common as a means to reduce risks in the derivatives market. Portfolio compression is a case in point: offsetting trades between multiple parties are torn up, which reduces the size of gross exposures, in turn reducing systemic risk. Over  €1,000 trillion in derivatives exposures has been eliminated in this manner.

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