To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deals with their organisational requirements, including prudential requirements...

We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options' price changes are computed by full re-evaluation on the changing prices of underlying assets. Our methodology takes implicitly into account assets' correlations...