The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, a model for estimating future initial margin requirements is necessary to enable the calculation of pricing adjustments (MVA), net...

In this paper, we simulate and analyze the impact of financial regulations concerning the collateralization of derivative trades on systemic risk - a topic that has been vigorously discussed since the financial crisis in 2007/08. Experts often disagree on the efficacy of these regulations....