英文标题：
《An Enhanced Initial Margin Methodology to Manage Warehoused Credit Risk》
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作者：
Lucia Cipolina-Kun, Ignacio Ruiz, Mariano Zero-Medina Laris
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最新提交年份：
2018
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英文摘要：
  The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced to warehouse credit risk. As a result, dealers tend to offer a limited OTC derivatives market to highly risky counterparties. Consequently, those highly risky entities rarely have access to hedging services precisely when they need them most. In this paper we propose a method to overcome this limitation. We propose to extend the CVA risk-neutral framework to compute an initial margin (IM) specific to each counterparty, which depends on the credit quality of the entity at stake, transforming the effective credit rating of a given netting set to AAA, regardless of the credit rating of the counterparty. By transforming CVA requirement into IM ones, as proposed in this paper, an institution could rely on the existing mechanisms for posting and calling of IM, hence ensuring the operational viability of this new form of managing warehoused risk. The main difference with the currently standard framework is the creation of a Specific Initial Margin, that depends in the credit rating of the counterparty and the characteristics of the netting set in question. In this paper we propose a methodology for such transformation in a sound manner, and hence this method overcomes some of the limitations of the CVA framework.
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中文摘要：
使用CVA来覆盖信用风险的做法非常普遍，但也有其局限性。也就是说，交易商面临用于对冲的工具流动性不足的问题，因此被迫存储信用风险。因此，交易商倾向于向高风险交易对手提供有限的场外衍生品市场。因此，这些高风险实体很少能在最需要对冲服务的时候获得对冲服务。本文提出了一种克服这一局限性的方法。我们建议扩展CVA风险中性框架，以计算每个交易对手的初始保证金（IM），这取决于相关实体的信用质量，将给定净额结算集的有效信用评级转换为AAA，而不管交易对手的信用评级如何。如本文所述，通过将CVA需求转化为IM需求，机构可以依赖现有的IM发布和调用机制，从而确保这种新的仓库风险管理形式的运营可行性。与当前标准框架的主要区别在于创建特定的初始保证金，这取决于交易对手的信用评级和相关净额结算集的特征。在本文中，我们提出了一种以合理的方式进行这种转换的方法，因此这种方法克服了CVA框架的一些限制。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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