Issue 108: May 2026
Editor's Pick
Understanding Margin Model Performance: A Factor-Based Approach to CCP Backtesting
Published: May 2026
Rama Kumanduri, Managing Director, and Shahrzad Karimi, Director, at The OCC explain how a new factor-based, forward-looking approach to CCP backtesting helps identify the true drivers of margin model failures.
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Features
How Trade Credit Could Deepen Settlement Liquidity
Published: May 2026
Tomaž Fleischman, Principal Scientist & Co-Founder, and Ethan Buchman, CEO and Co-Founder, of Cycles Protocol SA, outline a new way to free up trapped liquidity by safely netting obligations across different clearing systems.
Features
Rethinking Risk for the Portfolios CCPs Actually Clear
Published: May 2026
Fernando Cerezetti, Chief Risk Officer, ClearToken CCP Limited, looks at why traditional VaR may be missing risks in today’s more complex CCP portfolios and how a different approach could help spot them sooner.
Features
NSE Clearings’ research on use of deep generative models for risk management of options contracts
Published: May 2026
Rohit Barve, Deputy Manager, Dr. Aniket Bhanu, Vice President, and Rejaul Barbhuyan, Chief Manager, Risk and Data, NSE Clearing Ltd., outline the findings of their WFEClear research paper on option price scenario generation using risk neutral distributions and generative modelling.
Features
Client Clearing and Market Structure in CDS Markets
Published: May 2026
Salil Gadgil, Researcher, Office of Financial Research, examines how client clearing has reshaped CDS markets and why the features that improve efficiency can create new vulnerabilities during periods of stress.
ESG
Climate Risk Premium: Evidence from Commodity Options
Published: May 2026
Dr. Kaitao Lin, Senior Financial Economist at the WFE, says commodity options markets are already pricing in climate risk, with “brown” contracts carrying higher premiums than their greener counterparts.
Features
WFE News and Publications Round-up for April
Published: May 2026
Catch up on recent WFE news, consultation responses and announcements:
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