CCPs Urged to Learn From COVID on Margin Models
By Wendy Lisney
January 7, 2021, Global Investor Group
Central counterparties (CCPs) must adopt margin requirements that limit the need for destabilising, procyclical changes during times of extreme market volatility, an analysis of risk management frameworks during the Covid-19 crisis has found.
In a whitepaper, the International Swaps and Derivatives Association (ISDA) also urges CCPs to step up communications to clearing members on backtesting data and margin models by moving from a quarterly to monthly disclosure model.
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