Zeliade works with prominent CCPs as an independent validator for their risk policies, with more than 30 independent validation projects spanning global and local CCPs. Zeliade combines state-of-art quantitative and financial knowledge along with a thorough expertise on the clearing regulations (EMIR, PFMIs, US CFTC) and global overview on the CCPs universe.

State-of-art quantitative and financial expertise in service of CCPs

We offer a comprehensive analysis of all the CCPs’ risk methodologies:

  • Initial Margin models (SPAN, Filtered Historical VaR, Monte-Carlo VaR), including add-ons (liquidity, concentration, wrong-way risk, sovereign risk …), Backtesting, sensitivity analysis;

  • Market data, reliability of the sourcing, data proxying, pricing models, appropriateness of the risk factors used in pricing;

  • Stress Testing, sizing, allocation and monitoring of the Default Fund;

  • Collateral risk methodology, haircuts, credit quality, valuation and monitoring;

  • Liquidity risk methodology, liquidity requirements and resources, exposure to liquidity providers/ custodian/investment counterparties

  • Internal credit risk scoring for the CCP’s counterparties (clearing members, investment, liquidity providers etc);

  • Investment risk policy, credit risk limits, concentration limits etc.

Our experience encompasses all cleared markets:

  • Cash and derivatives: stocks, index, foreign exchange and commodities futures and options;

  • Fixed Income: Bonds, repos;

  • Credit: Credit Default Swaps;

  • OTC interest rate derivatives: Single currency IRS, Basis swaps, Non-deliverable IRS, Cross Currency Swaps;

  • OTC FX derivatives: Non Deliverable/Deliverable FX Forward, FX Options.