How Trump Has Increased Your Margin Requirements

aka “How Volatile is Initial Margin?” The month of November has seen a very significant market movement for most markets, and in particular for fixed income derivatives. Some of our clients this past month have seen some massive swings in margin requirements for their cleared swaps, and I was intrigued to go see if this […]

FRTB SA – Residual Risk AddOn

Following on from my article FRTB – The Default Risk Charge,  I wanted to look at another specific component of the Standard Approach, namely the Residual Risk Add-On for instruments with non-linear payoffs. Background In January 2016, the Basel Committee on Banking Supervision (BCBS) published its Standards for Minimum Capital Requirements for Market Risk; also known as the […]