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Special issues of initial margin calculation for certificates based on the requirements of the EMIR regulation

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.

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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
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

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