Margin in Derivatives Trading
First published:
ISBN: 978-1-78272-390-5
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Introduction
Leif Andersen and
Introduction
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
While it is now nearly a decade since the Great Recession of 2007–9, waves from the crisis and its aftermath continue to wash over the financial landscape. A number of wide-ranging regulatory initiatives aiming to solidify the balance sheets of financial institutions were implemented fairly quickly after the crisis, yet others have only started to affect the markets in earnest within the last few years. For instance, only in September 2016 was the first wave of new requirements for margin adequacy in over-the-counter (OTC) markets implemented, carrying with it significant changes in the way large financial institutions manage risk and operate their trading desks. As we were finalising this book, these new uncleared margin requirements (UMR), often referred to in the industry as the “uncleared margin rules”, were still in the process of being expanded to cover a wider array of institutions, effectively making the practice of OTC trading with very substantial, and possibly very costly, margin requirement near ubiquitous in the financial industry.
The increased regulatory requirements for margin posting were, of course, aimed at lowering the overall level of credit risk in the
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