OTC Under Central Clearing: Risk Measures For Liquidity Constraints

OTC Under Central Clearing: Risk Measures For Liquidity Constraints

Of course, it is not just the risk margin that can vary. The total liquidity need is to support changes in both variation and risk margin, and so the relationship between the two is another crucial aspect to analyze. Continuing the example from above, we plot the weekly changes in variation and risk...

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Bibliographische Detailangaben
Veröffentlicht in:Derivatives Week 2012-07
1. Verfasser: Finger, Christopher
Format: Artikel
Sprache:eng
Schlagworte:
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Defense
Derivatives
Interest rate swaps
Liquidity
Margin requirements
Standard deviation
Volatility
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Beschreibung
Zusammenfassung:Of course, it is not just the risk margin that can vary. The total liquidity need is to support changes in both variation and risk margin, and so the relationship between the two is another crucial aspect to analyze. Continuing the example from above, we plot the weekly changes in variation and risk margin in Figure 2.
ISSN:1075-2412