Article: Initial Margin Attribution

27 September 2017 | ClarusFT Feed

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.

Initial margin is an important portolio measure Attributing it to constituent business units is not simple Diversification benefit between units is a key concept The choice of methodologies can align or mis-align incentives An example explains what you should know Initial Margin and Diversification Benefit IM is a portfolio risk measure and one that is […]

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