CCP margin buffers too big, research suggests

Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts

locked-up-money

Regulatory minimums that underpin the way clearing houses set initial margin requirements – designed to prevent the sudden ramping up of margins when prices collapse, making a crisis worse – may be needlessly conservative, constraining liquidity by tying up collateral and potentially discouraging market participants from clearing, two senior CCP risk experts have argued.

In research published in the Journal of Financial Market Infrastructures, Atsushi Maruyama, director of risk at Ice Clear

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: