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.
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.