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January 29, 2013

Vote: Plans to replicate CCP IM Calculations

In the Exchange Traded Market, firms often use software like GMI or Rolfe & Nolan to replicate and reconcile the amount of IM a CCP calls for. In the OTC market this means having your own tools to run a Historic VaR, or similar IM model. My own opinion is that sooner or later users of CCPs for OTC products are going to want the ability to be sure the IM call is "correct", rather than blindly accept the CCP figures, as the amounts of IM are going to be very large, relative to ETD products. Please vote below, and I will reveal a summary of the results in a week or so. [polldaddy poll=6862315]


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