comparemela.com

Latest Breaking News On - Alue at risk var - Page 1 : comparemela.com

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

United kingdomFinancial conduct authority fcaBank of england boeNited kingdom ukLiability driven investment ldiIsda simmAlue at risk varInitial marginPension funds

Bloating CCP default funds New margin models Are the two linked?

Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing

Morgan stanleyCme groupEurex clearingIntercontinental exchange iceNited states usLearing membersDefault fund contributionDefault fundsFutures commission merchant fcmInitial marginMargin modelsAlue at risk varRisk management

The unknown risk on the flip side of the basis trade

US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM

Bond futuresBasis tradingHedge fundsTail riskAlue at risk varS treasuriesRisk management

Buy side still prefers bilateral repo despite LCH margin update

New model will cut margin faster after stresses abate, but costs still high for directional trades

Rosa fenwickUnited kingdom repoclearColumbia threadneedleBank of england boeNited kingdom ukLiability driven investment ldiInitial marginMargin modelsAlue at risk varLearing membersNdirect clearingRisk management

VAR breaches trip up Citi, CS USA and two others in Q3

Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high

United statesHuntington bancsharesSuisse united statesCredit suisseHuntington bancsharesNited states usAlue at risk varMarket riskMarket risk modellingStandardised approachesNternal models approach imaCapital requirementsProfit amp lossp amplIsk quantum

vimarsana © 2020. All Rights Reserved.