Data shortage hits margin models for Asia banks

Thin trade volumes in local derivatives threaten to undermine key tests for initial margin models

Asian banks preparing for the next wave of initial margin rules are scrambling to gather the necessary data that will allow them to test their margining models.

Under the initial margin regime, a wide range of derivatives counterparties will soon have to post funds against uncleared transactions. Although dealers are able to use industry-standard models to calculate margin, local regulators often require these models to be validated. This process involves calibration by backtesting against