Gurrola-Pérez, Pedro; Murphy, David - In: Borsa İstanbul Review 25 (2025) 6, pp. 1166-1182
measure of its reactiveness. This approach could be used both to measure initial margin model reactiveness, or procyclicality … are explored. The behaviour of two widely-used anti-procyclicality tools, the buffer and the use of a stressed period, are … also analysed: the latter is found to be more successful at mitigating procyclicality than the former. The paper concludes …
