Russia's National Clearing Centre's New Model to Provide Early Warning for Asset Volatility Changes
10:29 GMT 14.09.2021 (Updated: 10:30 GMT 14.09.2021)
© Sputnik / Ilya PitalevMoscow Exchange
© Sputnik / Ilya Pitalev/
The Chief Risk Officer of Russia’s Central Counterparty National Clearing Centre (NCC) said that the model should solve the ‘systemic problem of margining the procyclicality of models at central counterparties’, which has apparently been exacerbated by the ongoing coronavirus pandemic.
The NCC, which acts as a clearing house and a central counterparty for the Russian financial market, has launched the core unit of the Model for Adaptive Anti-Pro-Cyclicality (MAAPC), which has been designed to measure present market conditions and predict any volatility, according to NCC’s Chief Risk Officer, Rinat Kirdan while talking to Sputnik.
As Kirdan explained, the MAAPC is supposed to provide early warnings to the market of any looming changes in volatility of the various asset classes NCC accepts as collateral. "We believe that these signals will provide clearing members with more time to respond in a measured way to changes in NCC’s margin levels", rather than acting in a panic, he said.
The introduction of MAAPC, Mr Kirdan said, is NCC’s answer to the ‘systemic problem of margining models’ procyclicality at central counterparties, which has been further exacerbated by the pandemic’.
8 September 2021, 21:56 GMT
"NCC intends to employ MAAPC to enhance its indicative risk rate approach, which, in turn, will help to strengthen risk protection of clearing members and especially individual investors, the number of whom grew dramatically in recent years," he added.
The Central Counterparty National Clearing Centre is a member of the Moscow Exchange group.
According to the information provided on the organisation’s website, NCC renders clearing services and acts as central counterparty in the financial market; NCC’s sole shareholder is OJSC Moscow Exchange MICEX-RTS.