Digital Library of the European Council for Modelling and Simulation

Title:	Supplementation Of The Regulation Of Anti-Cyclical Margin Measures
Authors:	Csilla Szanyi, Melinda Szorodai, Kata Varadi
Published in:	(2018). ECMS 2018 Proceedings Edited by: Lars Nolle, Alexandra Burger, Christoph Tholen, Jens Werner, Jens Wellhausen European Council for Modeling and Simulation. doi: 10.7148/2018-0005 ISSN: 2522-2422 (ONLINE) ISSN: 2522-2414 (PRINT) ISSN: 2522-2430 (CD-ROM) 32nd European Conference on Modelling and Simulation, Wilhelmshaven, Germany, May 22^nd – May 26^5h, 2018
Citation format:	Csilla Szanyi, Melinda Szorodai, Kata Varadi (2018). Supplementation Of The Regulation Of Anti-Cyclical Margin Measures, ECMS 2018 Proceedings Edited by: Lars Nolle, Alexandra Burger, Christoph Tholen, Jens Werner, Jens Wellhausen European Council for Modeling and Simulation. doi: 10.7148/2018-0074
DOI:	https://doi.org/10.7148/2018-0074
Abstract:	Our paper focuses on the procyclicality of margin requirements of central counterparties (CCP). The role of the central counterparties on the market is to take over the counterparty risk during the trading on stock exchanges. CCPs use a multilevel guarantee system to manage this risk, and the margin is one level of this system. The regulators have recognized, that the margin has procyclical effect on the market – in case of a stress event the margin has to be increased as a consequence of the increased volatility of the market –, so they have to take action in order to avoid this procyclicality as much as possible, not to punish the market in a stressed market situation. In this paper we will introduce those anti-procyclicality methods that were offered by the regulators in the so called EMIR (European Market Infrastructure Regulation) regulation, and point out that how the regulation should be extended in order to apply the anti-procyclicality methods properly and efficiently by the CCPs.
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