Liquidity Margin

摘要

Systems and methods are provided for determining margin requirements for portfolios that are illiquid or have concentrated positions. Surveys with sample portfolios that include credit default swaps and that ask for liquidity charges are distributed to clearing members. Answers to the surveys are analyzed to develop a liquidity risk model. The liquidity risk model is subsequently used when setting margin requirements.

主权项

1. A method of determining risks associated with a portfolio of financial instruments, the method comprising:
(a) determining at a processor a concentration based liquidity charge which takes into account the effect of portfolio risk; (b) determining at a processor a floor liquidity charge based on bid-ask spreads for positions in the portfolio; and (c) assigning a liquidity risk value that is the higher of the concentration based liquidity charge or the floor liquidity charge.