Tag Archives: cleared contracts

how swap risk is calculated

How Swap Risk is Calculated

How Swap Risk is Calculated

This blog on how swap risk is calculated is the conceptual view of how firms and CCP’s calculate the Initial Margin on Interest Rate Swaps.  While the numbers reflect a real at-market swap given the terms and conditions described they made vary widely from what your firm or clearinghouse requires. Thus this blog covers how the Independent Amount

Top