Cutting Edge introduction: Taming MVA
As with the other costs in a derivatives trade, the funding of initial margin can be passed to clients. Computing this margin valuation adjustment, however, presents a major challenge – one quants at Lloyds may have a solution to
One of the next big steps in the regulation of derivatives counterparty risk will be the phasing-in of margin requirements for non-centrally cleared derivatives, due to start next year under rules laid out by the Basel Committee on Banking Supervision and the International Organization of Securities Commissions. The result will be an increase in margin requirements – which are already rising
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Analysis, survey findings and practitioner perspectives examining the role of non-cash VM collateral, the operational challenges and whether tri-party infrastructure can support the next phase of change
