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Accounting for Risk and Interdependence When Setting Margins in Derivatives

JANUARY 24, 2014

RI’s workshop series continues on Thursday, February 13th in Toronto.

The specific topic of collateral requirements for central counterparties (CCPs) in derivatives markets will be presented by Christophe Pérignon, Associate Professor of Finance at HEC Paris, France.

Christophe will present a new methodology, called CoMargin, that depends on both the tail risk of a given market participant and its interdependence with other participants. Using proprietary data from the Canadian Derivatives Clearing Corporation (CDCC), the study shows that CoMargin outperforms existing margining systems.

Discussion by a representative from the financial services industry will follow.