Taking Control of IM with Forecasting and Optimization

02 Nov 2020
Company
Date submitted
02 Nov 2020
Resource type
Case study
File type
pdf PDF file (1.5M)
The advent of UMR has not only put pressure on firms to make their systems compliant with the regulations, but also put a drag on real returns as a result of the increased need to post margin on products which were previously not collateralized. Pension funds, asset managers and traditional long only funds are the firms more severely impacted because with directional books and growing notionals, the margin will continue to increase due to lack of any considerable offsets between positions
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