Search Results - subject:"initial margin"

Containing risks posed by leverage in alternative investment funds

Bouveret, Antoine; Darpeix, Pierre-Emmanuel; Ferrari, … - 2025

This paper proposes a framework for monitoring risks arising from the build-up of leverage in EU-domiciled alternative investment funds (AIFs) and examines policy tools that could be effective in mitigating these risks in line with international recommendations. We develop a novel framework that...

Persistent link: https://www.econbiz.de/10015604996

The Impulsive Approach to procyclicality: Measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions

Gurrola-Pérez, Pedro; Murphy, David - In: Borsa İstanbul Review 25 (2025) 6, pp. 1166-1182

measuring the reactiveness of the models used to calculate initial margin. The first contribution of this paper is to provide … such a measure. We consider a step function in volatility, and examine the responses of various initial margin models to … measure of its reactiveness. This approach could be used both to measure initial margin model reactiveness, or procyclicality …

Persistent link: https://www.econbiz.de/10015635763

The Impulsive Approach to procyclicality : measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions

Gurrola-Pérez, Pedro; Murphy, David - In: Borsa Istanbul Review 25 (2025) 6, pp. 1166-1182

Persistent link: https://www.econbiz.de/10015551278

A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA

Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - In: Quantitative finance 24 (2024) 3/4, pp. 409-432

Persistent link: https://www.econbiz.de/10014552078

Dissecting initial margin forecasts : models, limitations and backtesting

Chorniy, Vladimir; Arkhypov, Sergii - In: The journal of risk model validation 18 (2024) 4, pp. 21-56

Persistent link: https://www.econbiz.de/10015459697

CCP initial margin models in Europe

Boudiaf, Ismael Alexander; Scheicher, Martin; Vacirca, … - 2023

In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central …

Persistent link: https://www.econbiz.de/10014374537

CCP initial margin models in Europe

Boudiaf, Ismael Alexander; Scheicher, Martin; Vacirca, … - 2023

In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central …

Persistent link: https://www.econbiz.de/10014248732

Emulating the Standard Initial Margin Model : initial margin forecasting with a stochastic cross-currency basis

Puetter, Christoph M.; Renzitti, Stefano - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10014489002

Evaluating market risk from leveraged derivative exposures

Jukonis, Audrius - 2022

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Persistent link: https://www.econbiz.de/10014278525

The impact of stochastic volatility on initial margin and MVA for interest rate derivatives

Hoencamp, J. H.; Kort, J. P. de; Kandhai, B. D. - In: Applied mathematical finance 29 (2022) 2, pp. 141-179

Persistent link: https://www.econbiz.de/10013554796