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Margin in Derivatives Trading
£145.00
Many of the challenges that banks face due to tighter margin requirements are still fresh and, in many cases, without solid industry consensus to guide their resolution. Yet the new margin rules are already in place and, in order to effectively trade in today's markets, financial institutions must quickly develop a keen understanding of the implications of, and techniques for, trading with large margin requirements. This is, therefore, a serendipitous time to organise the many strands of margin-related challenges into a coherent framework, and, more importantly, to present the thinking and research on these problems by a collection of leading academics, practitioners and regulators.
Availability:
In stock
ISBN
9781782723905
Many of the challenges that banks face due to tighter margin requirements are still fresh and, in many cases, without solid industry consensus to guide their resolution. Yet the new margin rules are already in place and, in order to effectively trade in today's markets, financial institutions must quickly develop a keen understanding of the implications of, and techniques for, trading with large margin requirements. This is, therefore, a serendipitous time to organise the many strands of margin-related challenges into a coherent framework, and, more importantly, to present the thinking and research on these problems by a collection of leading academics, practitioners and regulators.
Margin in Derivatives Trading aims to do just this, and should be of benefit to practitioners, academics and regulators alike.
The book has been organised into several focus areas, progressing from the fundamentals of margin postings and the associated regulation, via valuation adjustments (XVA) and exposure calculation techniques, to more advanced topics. The book is divided into five sections:
1. Foundation;
2. Regulation;
3. XVA and forward initial margin;
4. Exposure modelling;
5. Optimisation, procyclicality and systemic risk.
Part I describes the basic mechanics of margin posting, as laid out in the typical legal documents relevant to different types of trading.
Part II is dedicated to regulatory aspects of margin, with a special focus on the new rules for bilateral OTC trading between financial companies.
Part III of the book is dedicated to the computation of valuation metrics for the credit and funding costs of margin.
Part IV of the book focuses on modelling credit exposure in the presence of margin.
Part V addresses a number of issues that can loosely be thought of as the unintended consequences of mandatory central clearing and the new margin requirements for bilateral OTC trading.
| ISBN | 9781782723905 |
|---|---|
| Navision code | MAPY |
| Publication date | 10 Oct 2018 |
| Size | 155mmx235mm |
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Leif B. G. Andersen and Michael Pykhtin
Leif B. G. Andersen
Global Head of The Quantitative Strategies Group, Bank of America Merrill Lynch
Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and at CMU’s Tepper School of Business. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Awards, and has worked for more than 25 years as a quantitative researcher in the global markets area. He has authored influential research papers and books in all areas of quantitative finance, including the 3-volume textbook Interest rate Modeling (co-authored with Vladimir Piterbarg). He is an Associate Editor of the Journal of Computational Finance.
Michael Pykhtin
Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has edited “Counterparty Risk Management” (Risk Books, 2014) and “Counterparty Credit Risk Modelling” (Risk Books, 2005); he is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals; he has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is a two-time recipient of Risk Magazine's Quant of the Year award (for 2014 and 2018). Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.
PART I Foundation
1. Variation and Initial Margin in ISDA Credit Support Annex
Gordon Lee, Piero Del Boca, Emma Jones, Sope Taiwo
UBS Investment Bank
2. Variation and Initial Margin Required by Central Counterparty and Clearing Houses
John Fennell, Yuting Wei
The Options Clearing Corporation
PART II Regulation
3. Margin Requirements for Over-the-Counter Derivatives: A supervisory Perspective
John Feid, David Lynch
Federal Reserve Board
4. The Emergence and Concepts of the SIMM Methodology
Martin Dahlgren, Tomo Kodama
Bank of America Merrill Lynch
5. The ISDA Standard Initial Margin Model-Backtesting Framework
Eduardo Epperlein, James McEwen, Wahb Ettoumi
Nomura
6. The Impact of Margin on Regulatory Capital
Michael Pykhtin
Federal Reserve Board
PART III
7. XVA for Margined Trading Postions
Leif Andersen
Bank of America Merrill Lynch
8. Modelling Forward Initial Margin Requirements for Bilateral Trading
Justin Chan; Shengyao Zhu; Boris Tourtzevitch
FIS Global; Nordea; FIS Global
9. Forward Valutaion of Inital Margin in Exposure and Funding Calculations
Martin Dahlgren
Bank of America Merrill Lynch
10. Margin Value Adjustments for CCPS With Q-Stimulated Inital Margin
Roberto Daluiso, Giorgia Facchinetti, Massimo Morini
Banca IMI
PART IV
11. Bilateral Exposure in the Presence of Margin
Leif Andersen; Michael Pyktin; Alexander Sokol
Bank of America Merrill Lynch, Federal Reserve Board; CompatibL
12. Central Counterparty Risk
Matthias Arnsdorf
JP Morgan Chase
13. Robust Computation of XVA Metrics for Central Counterparty Clearing Houses
Leif Andersen, Andrew Dickinson
Bank of America Merrill Lynch
Part V
14. Efiicient Initial Margin Optimisation
Nishchal Devanur, Andrea Vidozzi
Bank of America Merrill Lynch
15. Procycality in Sensitivity-Based Margin Requirements
Paul Glasserman; Qi Wu
Colombia University Business School; Chinese Univeristy of Hong Kong
16. Systematic Risks in Central Counterparty Clearing House Networks
Alexander Lipton
SilaMoney