Risk | November 10, 2016 | louie woodall

The buy side should prepare to shoulder the cost to banks of funding initial margin on non-cleared derivatives, say market participants. Serguei Issakov, global head of quantitative research and development at Numerix comments: "When you compute MVA, which requires finding the cost of initial margin over the life of the portfolio, first you simulate Monte Carlo scenarios into the future, and then on those scenarios you must project sensitivities. This is the most challenging part."

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