Qu'est-ce que « Anti-procyclicality tool » ?

An anti-procyclicality tool limits the rise of margin in stress by holding more in calm markets: a buffer above the model margin that can be released in stress, a weight on a stressed period in the calibration, a long look-back window, or a floor on volatility. European rules for central counterparties require at least one of a buffer of at least 25% of the calculated margin, a weight of at least 25% on stressed observations, or margin no lower than a ten-year look-back would give.