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Margin in Derivatives Trading

9781782723905

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Description

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 Foundation Regulation XVA and forward initial margin Exposure modelling 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.

Product Specifications

Model: 9781782723905
Format: paperback
ASIN: 1782723900
Category: Books > Subjects
Domain: Amazon UK
Release Date: 10 October 2018
Listed Since: 23 October 2018

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Margin in Derivatives Trading

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