Research and publications

Initial Margin For Non-Centrally Cleared OTC Derivatives: Overview, Modelling And Calibration

This paper 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 ...

Author(s) :

Dominic O'Kane

Summary :

This paper 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. 

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Type : Position paper
Date : 27/06/2016
Keywords :

Derivatives