Workshop view

Back to Shop

WEBINAR: Cost of Collateral for Clearing by Dmitry Pugachevsky


Watch the full version of this recorded webinar by clicking on the play button above.

To view the slides, register here to become a Quants Hub member. This will also give you access to a host of previously recorded webinars in our exclusive Members Area. 

Presented by Dmitry Pugachevsky: Director of Research, Quantifi

Recent regulations significantly increased collateral requirements for cleared trades. We will look at different capital costs arising from clearing and will compare them with  costs for OTC trades

  • IMC – cost of funding Initial Margins
  • VMC – cost of funding Variation Margins
  • Analysis of total cost of Clearing and comparison with OTC costs
  • Reasons OTC trading will continue
  • Converging between OTC and Clearing funding costs

Quantifi Solutions

Quantifi is a specialist provider of analytics, trading and risk management solutions. Founded in 2002, Quantifi has over 140 clients across 16 countries including 5 of the 6 largest global banks, 2 of the 3 largest asset managers, leading hedge funds, pension funds, insurers, brokers, clearing members, corporates and other financial institutions. The client base is evenly divided between the sell and buy-side. Quantifi has offices in London, New York, Frankfurt, Paris, New Jersey, and Sydney.

Quantifi re-invests significantly into research and development each year. We work closely with clients, market experts, and industry participants to drive our products. Reflecting this long term commitment, Quantifi has an unparalleled track record of being first-to-market for all of the most significant innovations in the OTC markets including CVA, FVA and OIS/CSA Discounting. Quantifi is also a leader in financial technology with early adoption of key technologies that give our clients advantages in terms of speed, scalability, and usability including being the first commercial native .NET analytics library and the first financial software vendor to support the Intel TBB multi-core API.


Published date

27 November 2014



Presenter Bio

Dmitry Pugachevsky

Dmitry Pugachevsky is a Director of Research with Quantifi, Inc., a specialist provider of analytics, trading and risk management solutions, where he is responsible for managing global research efforts. Prior to joining Quantifi in 2011, Dmitry was a Managing Director and a head of Counterparty Credit Modeling at JP Morgan. Before starting with JPMorgan in 2008 Dmitry was a global head of Credit Analytics of Bear Stearns for seven years. Prior to that, he worked for eight years with analytics groups of Bankers Trust and Deutsche Bank. Dr. Pugachevsky received his PhD in applied mathematics from Carnegie Mellon University. He is a frequent speaker at industry conferences and has published several papers and book chapters on modeling counterparty credit risk and pricing derivatives instruments.