Specific Upgrading Margining Countercyclicity in National Clearing Center of Moscow Exchange
https://doi.org/10.21686/2413-2829-2025-5-120-130
Abstract
The article provides key aspects of margining procyclicity on the horizon of historic volatility. The goal of the research is to study specific features of margining procyclicity to develop counter-cyclic measures. The research subject is restriction of margining procyclicity in the National Clearing Center. On the basis of historic dynamics of risk-factors trends were revealed causing cardinal change in risk-parameters of margining, which later can put excess marginal burden on finance market participants during the shock on finance market. The problem of time lag of response on stress was analyzed, as it is connected with the period of assessing the current volatility and external factors influencing the change of margining cycle stage. To identify the most dynamic to changes margining parameters the structure of protection levels of the National Clearing Center in Russia is analyzed. The article gives an example of colliding with procyclicity of overseas clearing centers and studies IOSCO recommendations concerning introduction of necessary measures of countercyclicity. Findings of the research serve as a recommendation indicator of procyclicity monitoring, which helps reduce margining burden on clearing participants and balance requirements during inter-cycling periods.
About the Authors
K. S. Turovskaya
Central Counterparty National Clearing Centre
Russian Federation
Russian Federation
Kseniya S. Turovskaya, Leading Specialist of the Market Risk Monitoring Department
13 Bolshoy Kislovsky Lane, Moscow, 125009
S. A. Perekhod
Financial University under the Government of the Russian Federation
Russian Federation
Russian Federation
Sergey A. Perekhod, Head of the Fininvest Laboratory of the Department of Financial Markets and Financial Engineering
49/2 Leningradskiy Avenue, Moscow, 125167
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Review
For citations:
Turovskaya K.S., Perekhod S.A. Specific Upgrading Margining Countercyclicity in National Clearing Center of Moscow Exchange. Vestnik of the Plekhanov Russian University of Economics. 2025;(6):120-130. (In Russ.) https://doi.org/10.21686/2413-2829-2025-5-120-130
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