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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Schedule-based initial margin, initial-margin threshold؟

يُعرف أيضًا باسم: schedule-based initial margin · initial-margin threshold

Definition 25.5 Rates, Credit, XVA and Risk · الفصل 25 — Margin Models

Schedule-based initial margin applies fixed shares of notional by asset class and maturity (for interest rates 1%, 2% and 4% for maturities up to two, two to five and over five years; 6% for FX; 15% for equity), netted as 0.4×gross+0.6×NGR×gross0.4\times\text{gross}+0.6\times\mathrm{NGR}\times\text{gross} with NGR the ratio of net to gross replacement cost. The initial-margin threshold, up to EUR 50 million per group, is the margin a party need not collect.

Bilateral initial margin of the member’s book today under a ten-day historical model, the sensitivity-based model with illustrative parameters, and the regulatory schedule. Simpler methods charge more. Data: US Treasury par yields; the chapter’s tutorial.
Figure 25.2. Bilateral initial margin of the member’s book today under a ten-day historical model, the sensitivity-based model with illustrative parameters, and the regulatory schedule. Simpler methods charge more. Data: US Treasury par yields; the chapter’s tutorial.

أمثلة

Example 25.6 (Three bilateral numbers)

Today, for the same book traded bilaterally: a ten-day historical 99% margin of USD 4.15 million; a sensitivity-based margin of 8.98 million with illustrative ten-day risk weights of 60, 60, 55 and 50 basis points; and a schedule margin of 13.19 million gross, 9.23 million net at an NGR of 0.5 (Figure 25.2). The schedule ignores the offsets between tenors; the sensitivity model sees them only through its correlations.

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