Counterparty Credit Exposure in the Presence of Dynamic Initial Margin
Alexander Sokol (CompatibL)
Leif B. G. Andersen (Bank of America Merrill Lynch)
Michael Pykhtin (Board of Governors of the Federal Reserve System)
In this presentation Alexander Sokol, CEO and Head of Quant Research of CompatibL, Leif B.G. Anderson (Bank of America Merrill Lynch) and Michael Pykhtin (Board of Governors of the Federal Reserve System) urge the risk management community to reconsider the introduction of BCBS-IOSCO dynamic bilateral initial margin (IM) which previously recommended itself as a way to eliminate residual exposure and CVA in the presence of the Margin Period of Risk (MPoR),
The presentation was presented at the Global Derivatives Conference in Budapest on May 10, 2016.
Download the full presentation here.