CCPs Should be More Transparent with Margin Models, Say Dealers
By Nick SawyerPublished September 23, 2011 Risk
While central counterparties (CCPs) active in the over-the-counter derivatives market already outline how their models work – for instance, providing details on the confidence level, look-back period and close-out period used by their value-at-risk models – dealers say they need much more detail to replicate and stress margin requirements, both for their own risk management purposes and to satisfy client requests.
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