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May 27, 2013

LCH Swapclear Margin, the need for change and the impact

LCH SwapClear have implemented a change in their Initial Margin methodology and this article will discuss three elements that constitute the change:

  1. Historical look-back period, increased from 5Y to 10Y
  2. Relative scenarios changed to absolute scenarios
  3. Worst Loss to Expected Shortfall

For further details on the need for these changes and their impact, please click here Amir Sources:


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