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Moving from VaR to ES | What Difficulties are Involved?

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According to a Risk Magazine article (subscription required), medium-sized financial institutions are going to have a tough time moving from Value at Risk (VaR) to Expected Shortfall (ES) for the purposes of calculating trading-book capital requirements.

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CCPs Revise Margin Models | Esma

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According to a Risk Magazine article (subscription required), some European CCPs are revising their margin models in order to comply with Esma regulations regarding the effects of procyclicality on margin requirements.

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Risk Management in the Real World | Nassim 'Black Swan' Taleb and Raphael Douady

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Philosophy and Course benefits

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Secretive start-ups eye uncleared OTC risk reduction | Risk.net

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Whilst much of the attention has been on CCPs, in the background new services are emerging to respond to the coming increase in cost and margin for un-cleared OTC business. Risk provides a brief insight into two particular firms, one in the UK and one in the US which aim to provide a wholly new approach to processing OTC business.

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Swap Margins Increase by 12% | CME Group

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CME group put an announcement on their website on October 15th stating that, effective October 16th, an Event Risk add-on of  3% will be applied to the base margins for all OTC IRS portfolios.

This will increase by 3% every day over the next four business days, resulting in an eventual 12% Event Risk add-on.

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Beat Amazon, 30% Off The Latest Book on Central Clearing for OTC Products | OTC Derivatives, Bilateral Trading and Central Clearing

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David Murphy, the author behind the Deus Ex Macchiato blog and Independent Consultant, has written the latest book on central clearing, which gathers together straightforward explanations of the financial technology behind the regulatory imperative to move OTC derivatives into central clearing.

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CCP Margin Models | Comparing Historic VaR and SPAN

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Following on from the "Beat the Experts" thread, John Philpott posed some excellent questions on the differences between the Value at Risk (VaR) and Standard Portfolio Analysis of Risk (SPAN) market-risk measurement methods.

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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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