Statistikk › Intraday og markedsmikrostruktur › Anti procyclicality
European clearing houses must damp margin increases by one of three methods and nobody has measured whether it works
| Option | Parameter | What it does |
|---|---|---|
| Margin buffer | At least 25% of calculated margin | Held as a temporarily exhaustible buffer |
| Stressed observations | At least 25% weight in the lookback period | Keeps a crisis in the sample permanently |
| Floor from a long lookback | Ten year historical lookback | Margin may not fall below the long run floor |
| Disclosed risk appetite range | 25% to 80% increase over five days | What clearing houses say they tolerate |
From Article 28 of the delegated regulation on clearing house requirements. A clearing house must apply at least one option. Which option each one picks is reported differently by two sources, and both versions are recorded in the underlying research rather than resolved here.
The rules offer a 25 per cent buffer, a 25 per cent weight on stressed observations, or a ten year lookback floor. Three official bodies across two and a half years each state that the effectiveness of these tools has not been measured.
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