Béli, Marcell and Váradi, Kata (2018) Special issues of initial margin calculation for certificates based on the requirements of the EMIR regulation. In: 25th Annual Conference of the Multinational Finance Society, Jun 24-27 2018, Budapest, Hungary.
|
PDF
- Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
1MB |
Abstract
Initial margin is the part of the multilevel guarantee system, operated by central counterparties. The main goal of this guarantee system is to manage the risk caused by taking over counterparty risk from the participants during trading on stock exchanges. Based on this risk overtaking, the counterparty risk is being centralized, and concentrated at the central counterparties. The regulators have perceived this risk, and established the so called EMIR regulation in Europe in 2012. Our paper will focus on an initial margin calculation method of a European central counterparty, which is compliant with the requirements of the EMIR regulation. Our focus, will be a special type of financial asset, the certificates. We show how the initial margin calculation model should be changed, and developed in order to be able to capture the specialities of these asset.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | central counterparty, initial margin, EMIR, procyclicality, certificates |
| JEL classification: | G15 - International Financial Markets G17 - Financial Forecasting and Simulation G18 - General Financial Markets: Government Policy and Regulation |
| Divisions: | Faculty of Business Administration > Institute of Finance and Accounting > Department of Finance |
| Subjects: | Finance |
| Funders: | New National Excellence Program of the Ministry of Human Capacities |
| Projects: | ÚNKP-17-4-III-BCE-10 (1500000696) |
| ID Code: | 3644 |
| Deposited By: | Ádám Hoffmann |
| Deposited On: | 04 Sep 2018 12:52 |
| Last Modified: | 04 Sep 2018 12:52 |
Repository Staff Only: item control page
Download Statistics
Download Statistics