Home / Collateral Model problem

Home Forums Development Collateral Model problem

This topic contains 0 replies, has 1 voice, and was last updated by  jorik 1 year, 1 month ago.

Viewing 1 post (of 1 total)
  • Author
  • #6289



    It seems to me that formula (17) in the latest user guide (release 3) has a mistake (I have not checked the code yet, by the way). There you use IA (independent amount) in calculations of collateral required at time t_m. Usually, IA is an extra collateral that must be posted irrespective of the exposure (overcollateralization). According to me, IA (similarly IM) should be used in calculations of exposures and not in variational margins.

    Best Regards,


Viewing 1 post (of 1 total)

You must be logged in to reply to this topic.