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Top News In Alue At Risk Var Today - Breaking & Trending Today

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 Kingdom , Financial Conduct Authority Fca , Bank Of England Boe , Nited Kingdom Uk , Liability Driven Investment Ldi , Isda Simm , Alue At Risk Var , Initial Margin , Pension 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 Stanley , Cme Group , Eurex Clearing , Intercontinental Exchange Ice , Nited States Us , Learing Members , Default Fund Contribution , Default Funds , Futures Commission Merchant Fcm , Initial Margin , Margin Models , Alue At Risk Var , Risk 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 Futures , Basis Trading , Hedge Funds , Tail Risk , Alue At Risk Var , S Treasuries , Risk 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 Fenwick , United Kingdom Repoclear , Columbia Threadneedle , Bank Of England Boe , Nited Kingdom Uk , Liability Driven Investment Ldi , Initial Margin , Margin Models , Alue At Risk Var , Learing Members , Ndirect Clearing , Risk 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 States , Huntington Bancshares , Suisse United States , Credit Suisse , Huntington Bancshares , Nited States Us , Alue At Risk Var , Market Risk , Market Risk Modelling , Standardised Approaches , Nternal Models Approach Ima , Capital Requirements , Profit Amp Lossp Ampl , Isk Quantum ,