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Research

Thomas Murray Data Services | CCP Risk Assessments

Anybody aware that Thomas Murray can provide a risk assessment for your potential CCP? See http://ds.thomasmurray.com/derivatives for some of the risks covered and follow the link below for more details: Thomas Murray Data Services | CCP Risk Assessments.

 

Harvard Law School | The Dodd-Frank Act’s Maginot Line: Clearinghouse Construction

Earlier today, Mark J Roe published an abstract to his paper on clearing houses on the Harvard Law Blog (a link to which is here. The full paper can be downloaded here).

2013 Glossary of Financial Terms | Sapient Global Markets

Stuck to find a definition of "altiplano" ? Look no further, 130+ pages of home grown definitions making you walk and talk like Jamie Dimon ;-)

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Is a Chart worth a hundred words or more? | Clarus Financial Technology

We have all heard the adage “a picture is worth a thousand words”, well today I am going to postulate that "a chart is worth a hundred words or more” and also “a chart is a hundred times quicker in conveying key information”. A few weeks ago, we released our DDR View, which while great in the aggregate information it showed, it did so using tables of numbers. Each day I found myself looking at the grid of numbers to establish and re-check a few simple observations.

Swapclear Check-o-matic

If you have some rate swaps sitting idle, why not use the new service from SwapClear to check whether they are mandated for clearing? Click here

Putting Things Into Perspective | Swaps vs. Swap-Futures

Catalyst issue guidance on CCP margining

Putting a spotlight on the challenges presented by Initial Margin algorithm changes at SwapClear and Eurex In recent months, both SwapClear and Eurex have indicated that they will overhaul their margining algorithms, posing significant new challenges for all users of OTC derivative CCPs.

The Volatility of Low Rates | Raphael Douady | Riskdata Working Paper

A paper for the quants, about how markets behave in a low interest rate environment, and how this relates to VaR, and therefore margin exceptions in clearing (or outside for that matter).  The author's profile is here (http://www.riskdata.com/person/dr_raphael_douady.html) and here (http://www.linkedin.com/pub/raphael-douady/0/a0a/1ab).

Avoiding the BCBS / IOSCO Margin Requirements for Bilateral Portfolios

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.

VAR versus expected shortfall - Risk.net

Given the report about the unsuitability of Expected Shortfall and back-testing, here's an article from 2007 by Risk which explains more. (subs) VAR versus expected shortfall - Risk.net.

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