initial-margin

  1. Nicole Seaman

    P1.T3.24.3 Implementation, Calculation, and Role in Exchange-Traded and OTC Markets

    Learning Objectives: Describe the implementation of a margining process and explain the determinants of and calculate initial and variation margin requirements. Describe the process of buying stock on margin without using CCP and calculate margin requirements. Describe the role of...
  2. Nicole Seaman

    P2.T6.24.34 Credit Value Adjustment and Debt Value Adjustment

    Learning Objectives: Explain the impact of incorporating collateralization into the CVA calculation, including the impact of margin period of risk, thresholds, and initial margins. Calculate DVA, BCVA, and BCVA as a spread. Explain the distinctions between unilateral CVA (UCVA) and BCVA, and...
  3. M

    Initial vs Variation margin

    Dear all, I can’t really get the idea why initial and variation margin are generally different? Let’s say market value of a share equals 100 , its 99% 1 day var equals 7. I am a broker and I set margin requirements for my client as 7 to be 99% sure I will not suffer a loss in the next day...
  4. Nicole Seaman

    P2.T6.905. ISDA Master Agreement and credit support annex (Gregory Ch.6)

    Learning objectives: Describe the rationale for collateral management. Describe the terms of a collateral and features of a credit support annex (CSA) within the ISDA Master Agreement including threshold, initial margin, minimum transfer amount and rounding, haircuts, credit quality, and credit...
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