After the Crash by Sharyn O'Halloran

Author:Sharyn O'Halloran
Language: eng
Format: epub
Tags: HIS036070, History/United States/21st Century, BUS023000, Business & Economics/Economic History
Publisher: Columbia University Press
Published: 2019-08-09T16:00:00+00:00

Figure 13.13 Histogram of Relative Reduction in EEPE over All Netting Sets. (0 out of 1,378 have more than 150% increase and are not shown, 0 of those have zero VM collateralized EEPE). Mean: −85.78 percent, SD: 20.76 percent

When comparing REG_1 (uncollateralized) vs. REG_4 (VM & IM collateralization) directly, we can see in figure 13.14 that the reduction in exposure is larger and distributed more narrowly compared with just the VM collateralization, see figure 13.12. There are still some netting sets left, which show an increase due to posted variation margin. However, this increase is smaller than under REG_3, as it is partially mitigated by the additional IM collateral.

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