The OTC Space | Category Archive

Harvard Law School | The Dodd-Frank Act’s Maginot Line: Clearinghouse Construction

May 9, 2013 by Ben Larah 1 Comment

Earlier today, Mark J Roe published an abstract to his paper on clearing houses on the Harvard Law Blog (a link to which is here. The full paper can be downloaded here). It is an eloquent, thought-provoking paper which reviews the financial crisis, describes the functionality of a CCP, and introduces some well-known criticisms of central […]

2013 Glossary of Financial Terms | Sapient Global Markets

April 30, 2013 by Bill Hodgson 0 Comments

Stuck to find a definition of “altiplano” ? Look no further, 130+ pages of home grown definitions making you walk and talk like Jamie Dimon SGM download URL here OTC Space download glossary-2013-final

News, Research, Sapient

Is a Chart worth a hundred words or more? | Clarus Financial Technology

April 5, 2013 by Amir Khwaja 3 Comments

We have all heard the adage “a picture is worth a thousand words”, well today I am going to postulate that ‘a chart is worth a hundred words or more” and also “a chart is a hundred times quicker in conveying key information”. A few weeks ago, we released our DDR View, which while great in […]

Swapclear Check-o-matic

April 5, 2013 by Bill Hodgson 3 Comments

If you have some rate swaps sitting idle, why not use the new service from SwapClear to check whether they are mandated for clearing? Click here

Putting Things Into Perspective | Swaps vs. Swap-Futures

April 4, 2013 by Ben Larah 5 Comments

It looks as though some market participants could do with a couple of words of advice from Harry Enfield’s Scousers: “Calm Down!” The Initial Margin (IM) calculation differences between swaps and swap-futures have already been covered in some depth on The OTC Space (see posts here and here). But, for convenience, here’s a quick summary: Cleared […]

Catalyst issue guidance on CCP margining

April 3, 2013 by Bill Hodgson 5 Comments

Putting a spotlight on the challenges presented by Initial Margin algorithm changes at SwapClear and Eurex In recent months, both SwapClear and Eurex have indicated that they will overhaul their margining algorithms, posing significant new challenges for all users of OTC derivative CCPs. Catalyst Development Limited, a specialist consultancy with one of the world’s largest […]

The Volatility of Low Rates | Raphael Douady | Riskdata Working Paper

April 3, 2013 by Bill Hodgson 2 Comments

A paper for the quants, about how markets behave in a low interest rate environment, and how this relates to VaR, and therefore margin exceptions in clearing (or outside for that matter). The author’s profile is here (http://www.riskdata.com/person/dr_raphael_douady.html) and here (http://www.linkedin.com/pub/raphael-douady/0/a0a/1ab). This has been kindly passed on via Sol Steinberg (http://www.swapclear.com/knowledge/ccp2/our-team.html) and (www.linkedin.com/pub/sol-steinberg/b/5a4/996) at LCH.Clearnet. The […]

Avoiding the BCBS / IOSCO Margin Requirements for Bilateral Portfolios

April 1, 2013 by Bill Hodgson 7 Comments

As everyone keeps saying, there will be unexpected outcomes from the new regulations, and one of them is about to turn the ISDA CSA upside down. Given the severe margin requirements for bilateral (non-cleared) trades, a 10 days 99% VaR segregated by asset class, this has driven research into exposure management much harder than before, […]

VAR versus expected shortfall – Risk.net

March 9, 2013 by Bill Hodgson 2 Comments

Given the report about the unsuitability of Expected Shortfall and back-testing, here’s an article from 2007 by Risk which explains more. (subs) VAR versus expected shortfall – Risk.net.

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