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Margin in Derivatives Trading
Discipline: Derivatives & Options
No of pages: 442
First published:
ISBN: 978-1-78272-390-5
Many of the challenges that banks face due to tighter margin requirements are still fresh and, in many cases, without solid industry consensus to guide their resolution. Yet the new margin rules are already in place and, in order to effectively trade in today’s markets, financial institutions must quickly develop a keen understanding of the implications of, and techniques for, trading with large margin requirements.
This is therefore a serendipitous time to organise the many strands of margin-related challenges into a coherent framework, and, more importantly, to present the thinking and research on these problems by a collection of leading academics, practitioners and regulators. Margin in Derivatives Trading aims to do just this, and should be of benefit to practitioners, academics and regulators alike.
Contents
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