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Collateral Rule

April 18, 2018 12:51 pm Published by

In this report the author provides the first comprehensive study of the collateral rule in the market of cleared credit default swaps by studying how margins depend on portfolio risks and market conditions, and what the implications are for theoretical models of collateral equilibrium.

The Case of Open Banking

April 18, 2018 11:28 am Published by

In this report the authors share their insights and identify some of the key changes and issues that the financial sector may be facing in the next few years as the use of open APIs becomes more ‘mainstream’.

Robust Hedging in Incomplete Markets

March 22, 2018 11:21 am Published by

The research report discusses the development of a hedging strategy for fund manager who faces uncertainty about the expected return on the assets as well as uncertainty about the expected growth in liabilities.

The Challenges of Implementing IFRS 9 – Part 2

September 7, 2017 5:14 pm Published by

At the GRI we expect the transition to IFRS 9 to present challenges to the various stakeholders. There is a clear need for education and discussion across the financial services industry as we approach the implementation date this November. In this paper we focus on the implications of IFRS 9 going forward, particularly as Canadian banks are required to “go live” in November.

A Parsimonious Parametric Model for Generating Margin Requirements for Futures

July 21, 2017 11:56 am Published by

Although regulatory rules for derivatives margin requirements have not yet been implemented they are currently under active discussion. In the USA, margins of derivative positions cleared by a central counter-party (CCP) must adhere to the 2010 Dodd-Frank Act, which reinforces the role of their supervision by the Securities Exchange Commission and the Commodity Futures Trading Commission. In Europe, EMIR regulations will require more stable margin requirements and an increased confidence level for CCP losses when a client defaults.