Margin in Derivatives Trading
First published:
ISBN: 978-1-78272-390-5
If you are a Risk.net subscriber you are entitled to 20% off your Risk books purchases. Please email enquiries@riskbooks.com for more information.
As part of your Risk.net subscription you are entitled to 20% off all of your Risk Books purchases. If you would like to place an order please email enquiries@riskbooks.com
Variation and Initial Margin in the ISDA Credit Support Annex
Gordon Lee, Piero Del Boca, Emma Jones and Sope Taiwo
Introduction
Variation and Initial Margin in the ISDA Credit Support Annex
Variation and Initial Margin Required by Central Counterparty Clearing Houses
Margin Requirements for Over-the-Counter Derivatives: A Supervisory Perspective
The Emergence and Concepts of the SIMM Methodology
The ISDA Standard Initial Margin Model Backtesting Framework
The Impact of Margin on Regulatory Capital
XVA for Margined Trading Positions
Modelling Forward Initial Margin Requirements for Bilateral Trading
Forward Valuation of Initial Margin in Exposure and Funding Calculations
Margin Value Adjustment for CCPs with Q-Simulated Initial Margin
Bilateral Exposure in the Presence of Margin
Central Counterparty Risk
Robust Computation of XVA Metrics for Central Counterparty Clearing Houses
Efficient Initial Margin Optimisation
Procyclicality in Sensitivity-Based Margin Requirements
Systemic Risks in Central Counterparty Clearing House Networks
Quantitative finance has evolved from pure derivatives pricing into a much more wide ranging discipline covering all facets of finance, from collateral agreements and risk management and valuation adjustments (XVAs) to more recent innovations in data science and artificial intelligence. Quantitative analysts (“quants”) are now found in many fields outside asset pricing (Lee 2017).
It is a testament to this trend that Michael Pykhtin and Leif Andersen, the two editors of this volume, received the prestigious “Quants of the Year” Award 2018, together with Alexander Sokol, for their work on whether initial margin (IM) eliminates counterparty risk (Andersen et al 2017). This award shows that the study of collateral is now front and centre for people working in quantitative finance.
In this chapter we shall give a brief history of the International Swaps and Derivatives Association (ISDA) and the documents they have produced, paying particular attention to the meaning of key definitions in the agreement documents. We shall cover the impact of bilateral margining regulations (Basel Committee on Banking Supervision and Board of the International Organization of Securities Commissions
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
