Capital

Eurex Cross-Product Margin | The Quantitative Benefits

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Eurex Clearing, Europe’s leading clearing house, today published the study “The Future of Central Clearing – Maximizing capital and cost efficiency through an integrated cross-product CCP clearing service”. The study was supported by and commissioned to Oliver Wyman, a leading global management consulting firm.
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Deus Ex Macchiato » Firms Could Lose IM in a Default

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A new CPSS-IOSCO consultative report puts forward a proposal for using non-defaulting clearing members IM to cover losses at a CCP. D.E.M.

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Can you Calculate Your Initial Margin and Capital Within Your Swap Execution Facility?

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BBG logoBloomberg have integrated the Initial Margin calculations from SwapClear into their trading platform.  What this provides is:

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US banks begin to support European peers over Fed onshore capital and liquidity proposal for foreign banks

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Goldman and JP have started to support EU banks lobbying against the Fed proposal to require US banks to hold more capital in the US (some details and nuances in these articles from the NY Times and the FT) (subs maybe

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4sight | Collateral Optimisation ROI Whitepaper

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Collateral Management system vendor 4sight has published their views on the ROI when using collateral optimisation, the paper is on their news page below entitled "Collateral Optimisation Whitepaper", link below. http://www.4sight.com/resources

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Avoiding the BCBS / IOSCO Margin Requirements for Bilateral Portfolios

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As everyone keeps saying, there will be unexpected outcomes from the new regulations, and one of them is about to turn the ISDA CSA upside down. Given the severe margin requirements for bilateral (non-cleared) trades, a 10 days 99% VaR segregated by asset class, this has driven research into exposure management much harder than before, to find a way to limit the costs of posting such large amounts of margin. A number of techniques are presenting themselves which hadn't been looked in detailed before. Ben Larah at Sapient alerted me to this line of thinking, as did Amir at ClarusFT.

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Modelling Capital and Risk: Is a Diversified Ecosystem a Protection against Systemic Risk?

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The BIS conducted a survey (http://www.bis.org/publ/bcbs240.pdf) "Regulatory consistency assessment programme (RCAP) – Analysis of risk- weighted assets for market risk", which in simple terms means a study into how banks calculate regulatory capital, including tests using 26 pre-defined sample portfolios.

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Deus Ex Macchiato » ‘Maintaining Confidence’ paper is up

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DEM makes recommendations on how to monitor and manage large institutions, worth a read.

Pre crisis, one might have thought that:

  • Banks survive if their assets are worth more than their liabilities.

Post crisis, we know that a more accurate account is

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