Calculating Liquidity Margin Requirements

摘要

Systems and methods are provided for calculating margin requirements and stress testing exposures of cleared credit portfolios. These margin requirements are calculated using the following components: spread risk, idiosyncratic risk, interest rate, and liquidity risk. The calculation of these risk components is accomplished with a detailed statistical analysis of the risk factors underlying instruments, such as a credit default swap instrument.

主权项

1. A system comprising:
a data repository storing portfolio information; a liquidity margin computing device communicatively coupled to the data repository, the liquidity margin computing device comprising:
a processor; anda non-transitory memory device storing instructions that, when executed by the processor, cause the liquidity margin computing device to:
calculate a hedge cost associated with a credit default swap (CDS) portfolio;calculate a liquidation cost associated with the CDS portfolio; andcalculate an aggregate liquidity charge for the CDS portfolio based on the hedge cost and the liquidation cost.