Alapletét meghatározásának lehetséges módszertana

Béli, Marcell; Váradi, Kata

doi:10.25201/hsz.16.2.117145

Cited by 4 publications

(4 citation statements)

References 12 publications

(13 reference statements)

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“…Future proposed research regarding this topic is to examine this question with procyclicality measures. ■ The reason why these values are not around 99%, is coming from the margin calculation methodology of Béli-Váradi (2017), where there would be additional buffers applied in order to have an adequate back test result, whic buffer are set to 0% in this calculation. These buffers are the liquidity and expert buffer.…”

Section: Discussionmentioning

confidence: 99%

“…The initial margin is defined with the model proposed by Béli-Váradi (2017), which is based on the Value-at-Risk model and applies a 25% procyclicality buffer, which is exhausted if the exponentially weighted moving average (eWMA) standard deviation of the stock's logreturn is more significant than its equally weighted standard deviation. This iM value will be the same for both (futures and CCP) margining methods.…”

Section: Modelmentioning

confidence: 99%

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How is it Done? : Comparison between the Margin Calculation Methodology of Central Counterparties and Clearinghouses

Friesz¹,

Váradi²

2021

PFQ

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Clearinghouses and central counterparties have become the backbone of financial markets by stepping between trades, facilitating securities trading, and derivative transactions on exchanges and overthe-counter markets. In the literature and in practice, too, the notion of clearinghouse and central counterparty are used as synonyms, but there is still a slight difference that highlights their distinction. This paper focuses on the margin calculation methodology of these institutions and emphasizes the contrast between the two. Results show that although capturing the same risks, clearinghouses’ margin requirement is better from a procyclicality and cash flow management point of view; however, central counterparties margining is more prudent based on our results.

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Section: Discussionmentioning

confidence: 99%

Section: Modelmentioning

confidence: 99%

How is it Done? : Comparison between the Margin Calculation Methodology of Central Counterparties and Clearinghouses

Friesz¹,

Váradi²

2021

PFQ

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“…Following the presentation of the regulatory framework, we described the operating principles and assumptions of our model. The margin requirements were calculated employing the methodology proposed by Béli and Váradi (2016) and the SPAN system, while the size of the default fund was determined in accordance with Article 42 of the EMIR. Our results revealed how different the sizes of default funds could be depending on realisations, which proves that it is not enough to rely solely on historical data when planning risk management.…”

Section: Discussionmentioning

confidence: 99%

“…Table 2 summarises their positions. We calculated the margin of the underlying products with the method of Béli and Váradi (2016), while we applied the SPAN (Standard Portfolio Analysis of Risk) system for calculating the portfolio-level margin, whose operation is summarised in Figure 4. In our model, we calculate only with the risk array and the short option minimum (SOM), which amounts to 10% of the margin value of the underlying product.…”

Section: Figure 3 a Realisation Of The Stock And Currency Prices And A Realisation Of The Shocksmentioning

confidence: 99%

The stress tests of central counterparties in the case of separate default funds - Planning the default fund and calculating its size

Friesz¹,

Muratov-Szabó²,

Prepuk³

et al. 2020

Economy & finance

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The crisis of 2008 pointed out the weaknesses of the current financial system. Since then, the role of central counterparties (CCP) has become increasingly important. CCPs provide guarantee, i.e., they take over the counterparty risk arising in the course of trading on different markets and guarantee the settlement of transactions. To fulfil this role, the CCP has to maintain financial resources which, in the event of the clearing member's default, are sufficient to cover the arising losses. For this purpose, the CCP operates a guarantee system, one element of this is the clearing members' contributions to the default fund. Our study focuses on the structure of the default fund operated by the CCP, as well as the stress test used for the calculation of the size of it. The results point out that we cannot rely solely on historical data when calculating the default fund. It is evident that excluding the outlier results, which are so-called "extreme but plausible," and building the default fund exclusively on historical data could be misleading, and the system could suffer unexpected and significant losses. Based on the risk mentioned above, hypothetical scenarios must be considered in the course of calculation so that the CCP can be prepared for unexpected losses.

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Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana

Ladoniczki¹,

Váradi²

2018

Közgazdasági Szemle

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ladoniczKi sára Kata-Váradi Kata elszámolóházak alapbiztosítéki követelményeinek számítási módszertana A 2008-as válságot követően számos olyan jogszabály született, amelyeknek célja a pénzügyi rendszer stabilitásának biztosítása és transzparenciájának növelése. A válság kitörésének egyik oka ugyanis a nem megfelelő szabályozói környezet volt, hiszen a globálisan jelentős méretű pénzügyi szereplők OTC-derivatívákban hatalmas értékű spekulatív tőkeáttételes pozíciókat halmoztak fel, amelyeken jelentős veszteségek gyűltek össze. Ezeknek az ügyleteknek a szabályozatlansága súlyosbította a válság elmélyülését. Erre válaszként született meg az Egyesült Államokban a Dodd-Frank Act, valamint az Európai Unió piaci szabályozása, a European Market Infrastructure Regulation (EMIR), amelyek hatására a központi szerződő felek jelentősége megnőtt a pénzügyi piacokon. Tanulmányunk célja, hogy bemutassuk néhány európai központi szerződő fél alapbiztosíték-számítási módszertanát az EMIR-szabályozás fényében. Ismertetjük az egyes módszertanok előnyeit, illetve hátrányait különböző szempontok alapján. Journal of Economic Literature (JEL) kód: G15, G17, G18.

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Alapletét meghatározásának lehetséges módszertana

Cited by 4 publications

References 12 publications

How is it Done? : Comparison between the Margin Calculation Methodology of Central Counterparties and Clearinghouses

How is it Done? : Comparison between the Margin Calculation Methodology of Central Counterparties and Clearinghouses

The stress tests of central counterparties in the case of separate default funds - Planning the default fund and calculating its size

Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana

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