Margin is in the spotlight lately and with good reason. Standards bodies, industry associations and regulators are all calling for greater transparency in margin models to boost the resiliency of the global derivatives markets during times of volatility, as seen in recent years and months.
In this podcast, Rafik Mrabet, Managing Director, Cumulus9, talks to DerivSource about what greater transparency of margin models and processes looks like for market participants – financial institutions and CCPs, and how tools can help all parties move towards the greater goal – a safer market.
Discussion points include:
- Takeaways from recently published industry reports calling for greater margin transparency
- A look at transparency means for CCPs, Clearing Members and Clients
- The evolution of margin model methodology – SPAN to VaR
- ·The available tools to improve margin transparency today
Listen now here or wherever you listen to podcasts or click play above.
About Rafik Mrabet
Rafik Mrabet is a senior risk professional in financial services, acting as Managing Director, leading business development at Cumulus9.
Rafik specialises in derivatives trading and risk management, risk methodology and has practical experience in designing and developing risk models. He has led the design and development of the innovative margin risk system, ICE Risk Model 2 (IRM 2), at Intercontinental Exchange Inc (ICE), and has been listed at an Inventor in the IRM 2 patent. His prior roles include Head of Risk at ICE Clear Europe, one of the world’s most diverse and leading clearing houses, Structured Credit Trader and Risk Manager at Mizuho.
Related reading and resources:
The need for margin calls transparency
Navigating a New Era in Derivatives Clearing
Margin Procyclicality: Changes Needed Now to Reduce Risk Tomorrow – Derivsource
EMIR 3.0—Experts Explore Coming Changes – Derivsource
