Articles
The Basel Committee's oversight body, the Group of Central Bank Governors and Heads of Supervision (GHOS), has endorsed a set of measures to provide additional operational capacity for banks and supervisors to respond to the immediate financial stability priorities resulting from the impact of Covid-19 on the global banking system.
Eventus Systems, the provider of trade surveillance and market risk software, has hired Roger Chandler as Senior Sales Engineer for Europe. Based in London, he is the first European appointment for the firm.
The current unprecedented volatility has led to significant swings in Mark-To-Markets (MTM) and has led to increased margin calls which have been fulfilled by further selling off assets. The MTM volatility has increased both Variation Margin and Initial Margin.
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Volatility in the markets now will mean significant effects on SIMM and IM in September 2020
Organisations are at high risk of disruption from a variety of threats. Enter the Red team, an organised attack to exercise your preparations
We all know about modelling the impact of market prices, fx and interest rates - but what about the climate?
A new integration between two popular vendors gives a new option for SIMM calculation
UMR isn't the only margin related event this year. Jo Burnham at Opengamma sets out what may happen this year.
The Bank of England has carried out a research project using data from DTCC and Unavista. The project modelled the flow of liquidity to meet margin calls in the cleared and uncleared market. The outcome of shortfalls is then compared to the global repo market to determine if systemic risk is present.
How are borrowers adjusting their interest rate hedging strategies to take account of the impending General Election and the uncertainty surrounding the UK’s future relationship with the EU? By Rhona Macpherson, Associate Director at JCRA
ISDA has published the ISDA SIMM™ Methodology, version 2.2, with an Effective Date of December 1, 2019. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. It also includes additional granularity for the FX asset class, the removal of curvature margin from equity volatility indexes and an alteration to allow for annual calibration of credit non-qualifying intra-bucket correlations.
In a recent report, Uncleared Margin Rules and the Rise of Initial Margin Optimization, Aite Group senior analyst Audrey Blater discusses an array of solutions offered to both the buy-side and sell-side to combat rising margin fees.