November 14, 2012
Catalyst paper on Stress Margining for Regulators and CCPs
The nice people at Catalyst have expressed some thoughts about using a ‘Stress VaR’ in the context of the ESMA non-cleared margin proposals, and for CCPs. The original URL for the PDF at Catalyst is here, or download from this site here.
Context:
Although debate continues as to its conceptual soundness and proper place in the risk management framework, “Stressed VaR” (SVaR) has been a reality for Banks since the arrival of Basel 2.5 at the end of December 2011. Its purpose is ostensibly to function as one of a series of new risk measures, designed to address the perceived shortcomings of VaR.
Popular
Most Viewed
Articles
Jun. 20, 2022
Regulatory change and data fragmentation are key challenges for 85% of firms
Jun. 13, 2022
Driving competitive advantage from FX TCA to LPA
Jun. 09, 2022
Three leading banks join CLSNet
Jun. 08, 2022
FMSB – Financial markets misconduct in global capital markets
May. 31, 2022