A new study from EDHEC-Risk Institute, entitled “Initial Margin for Non-Centrally Cleared OTC Derivatives – Overview, Modelling and Calibration,” provides a detailed overview and analysis of the forthcoming new framework to be used by large financial institutions to determine initial margin (IM) and variation margin (VM) payments when trading non-cleared over-the-counter (OTC) derivatives. Click here […]
OTC
MIFID (II) AND MIFIR
Whats is MiFID? MiFID is the Markets in Financial Instruments Directive (2004/39/EC). It has been applicable across the European Union since November 2007. It is a cornerstone of the EU’s regulation of financial markets seeking to improve the competitiveness of EU financial markets by creating a single market for investment services and activities and to […]
BIS: Review of the Credit Valuation Adjustment Risk Framework
This consultative paper presents a proposed revision of the Credit Valuation Adjustment (CVA) framework set out in the current Basel III capital standards for the treatment of counterparty credit risk. CVA is an adjustment to the fair value (or price) of derivative instruments to account for counterparty credit risk (CCR). Thus, CVA is commonly viewed […]
