initial margin validation


The problem

Central clearing houses are evolving their margin models at a high pace, moving from parametric models to historical simulation based VaR (or even expected shortfall) models. Changing these models has tremendous impact on the global financial network as the margining methodology governs the huge collateral flows that mitigates counterparty risk in the global financial network. As a consequence, any change in the margin model needs rigorous testing

Our solution

Yields has an extensive library of statistical tests to analyze the quality of the margin model. When applied to e.g. historical data of a CCP, we generate interactive dashboards and reports analyzing the impact of a margin model change for each counterparty and even on synthetic portfolios. The resulting data can be used for regulatory reporting and client communications alike.

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Interested in a demo?

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