LCH Swapclear Margin, the need for change and the impact

LCH SwapClear have just implemented a change in their Initial Margin methodology and this article will discuss three elements that constitute the change: Historical look-back period, increased from 5Y to 10Y Relative scenarios changed to absolute scenarios Worst Loss to Expected Shortfall Ten Years This is the most obvious change, because as we approach the […]

Arbitrage free SABR and near negative rates

This week in London the Thalesians hosted a presentation by Pat Hagan titled ‘Arbitrage free SABR‘. Knowing the popularity of Pat’s presentations, I had planned to arrive early to ensure I had a good seat, unfortunately I mis-calculated how long it took to get from the City to Canary Wharf, and so I arrived on […]

Win a Nexus 7, Kindle Fire or Apple iPad mini

The Dodd-Frank Act has a mandatory clearing deadline of June 10th for Category 2 entities (hedge funds, non-swap dealer banks) We are asking the following question: What do you predict will be the gross notional remaining of Uncleared USD IR Swaps FixedFloat in the week of 10th – 14th June 2013, as reported to the USD […]

The Lean StartUp and LinkedIn

For those of you not familiar with the Lean StartUp concept, I can recommend the recent HBR article “Why the Lean Start-Up Changes Everything.” The article points out the the value of “experimentation over elaborate planning, customer feedback over intuition, iterative design” and introduces concepts such as “minimum viable product” and “pivoting“. Some of the ideas […]

markit Financial Markets Reform Conference – The Highlights

Attended the annual markit customer conference in London today, titled Financial Markets Reform. These are my notes. Large turnout, at least 500 if not more. Every seat with a keypad device for voting, 1,2,3,..9 for questions asked in realtime by the compere, very cool, audience participation always helps in engagement and staying focused. Four panels and […]