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  1. CCP initial margin models in Europe
    Author: Boudiaf, Ismael Alexander; Scheicher, Martin; Vacirca, Francesco
    Published: [2023]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for the... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 535
    Inter-library loan:
    No inter-library loan

     

    In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for the functioning of financial markets, we provide an overview of the main modelling frameworks used, including Standard Portfolio Analysis of Risk (SPAN) and Value at Risk (VaR) models.By leveraging on publicly available data, we provide an up-to-date picture of current modelling practices for specific cleared product classes, as well as various trends in IM modelling practices in Europe. We show how IM model frameworks vary materially, depending on the CCP’s past choices and the products it clears. Despite a propensity to switch to VaR models, idiosyncrasies and differences across CCPs are likely to persist.We conclude by highlighting current and upcoming challenges and risks to CCP IM model frameworks and linking the current status quo with ongoing and upcoming regulatory work at European and international level.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289960588
    Other identifier:
    hdl: 10419/278425
    Series: Occasional paper series / European Central Bank ; no 314 (April 2023)
    Subjects: Central Counterparties; initial margin models; risk management; modelgovernance and validation
    Scope: 1 Online-Ressource (36 Seiten), Illustrationen
  2. CCP initial margin models in Europe
    Author: Boudiaf, Ismael Alexander; Scheicher, Martin; Vacirca, Francesco
    Published: [2023]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for the... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
    Inter-library loan:
    Unlimited inter-library loan, copies and loan

     

    In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for the functioning of financial markets, we provide an overview of the main modelling frameworks used, including Standard Portfolio Analysis of Risk (SPAN) and Value at Risk (VaR) models.By leveraging on publicly available data, we provide an up-to-date picture of current modelling practices for specific cleared product classes, as well as various trends in IM modelling practices in Europe. We show how IM model frameworks vary materially, depending on the CCP’s past choices and the products it clears. Despite a propensity to switch to VaR models, idiosyncrasies and differences across CCPs are likely to persist.We conclude by highlighting current and upcoming challenges and risks to CCP IM model frameworks and linking the current status quo with ongoing and upcoming regulatory work at European and international level.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289960588
    Other identifier:
    hdl: 10419/278425
    Series: Occasional paper series / European Central Bank ; no 314 (April 2023)
    Subjects: Central Counterparties; initial margin models; risk management; modelgovernance and validation
    Scope: 1 Online-Ressource (36 Seiten), Illustrationen
  3. A CBA of APC
    analysing approaches to procyclicality reduction in CCP initial margin models
    Author: Murphy, David; Vause, Nicholas
    Published: November 2021
    Publisher:  Bank of England, London

    Access:
    Verlag (lizenzpflichtig)
    Verlag (lizenzpflichtig)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 443
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 950
    Subjects: Central counterparty; cost‑benefit analysis; derivatives clearing; initial margin models; mandatory clearing; procyclicality
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen