Future Trends in Optimisation Collateral, Regulatory Capital & CCP Selection

Financial firms are currently experiencing significant regulatory and cost pressures. This is leading to a search for ways to optimize various aspects of trade types that involve some level of counterparty credit risk (derivatives, securities lending, repo).

This paper looks at the different types of optimization for these trades, how they are calculated, and how the different optimization groups are interrelated. It also discusses some of the practical aspects of this type of multivariate optimization.