Klearchos Loukopoulos

Credit Suisse Securities (Europe) Limited

One Cabot Square

London, E14 4QJ

United Kingdom

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A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements

Number of pages: 14 Posted: 17 Jan 2016 Last Revised: 19 Jan 2017
Fabrizio Anfuso, Daniel Aziz, Paul Giltinan and Klearchos Loukopoulos
PRA, Bank Of England, Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse Securities (Europe) Limited
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Citation 18

Abstract:

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Initial Margin, BCBS-IOSCO, CCP, OTC, Clearing, Counterparty Credit Risk, XVA, Liquidity, Funding costs