LDI firms update margin stress tests post-gilt crisis

For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin

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United Kingdom , ,Financial Conduct Authority Fca ,Bank Of England Boe ,Nited Kingdom Uk ,Liability Driven Investment Ldi ,Margin ,Isda Simm ,Alue At Risk Var ,Initial Margin ,Pension Funds ,Milts ,Derivatives ,