Search: IOSCO

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RBA Glossary definition for IOSCO

IOSCO – International Organization of Securities Commissions. An international organisation whose members co-operate to promote high standards of regulation in order to protect investors and ensure that markets are fair, efficient and transparent.

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Background

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
Under international standards, ‘initial margin should meet an established single-tailed confidence level of at least 99 percent with respect to the estimated distribution of future exposure’ (CPSS-IOSCO 2012, p ... These steps are known as
https://www.rba.gov.au/publications/rdp/2016/2016-07/background.html

The Model

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
at least 99 per cent of estimated future price movements (CPSS-IOSCO 2012).
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html

The Efficiency of Central Clearing: A Segmented Markets Approach

1 Oct 2016 RDP 2016-07
James Hansen and Angus Moore
These steps are known as ‘recovery’ (for further detail, see Gibson (2013), CPMI-IOSCO (2014) and Heath et al (2015)). ... at least 99 per cent of estimated future price movements (CPSS-IOSCO 2012).
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html

References

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
CPMI-IOSCO (Committee on Payments and Market Infrastructures and Board of the International Organization of Securities Commissions) (2014), Recovery of Financial Market Infrastructures, Bank for International Settlements, Basel. ... CPSS-IOSCO (Committee
https://www.rba.gov.au/publications/rdp/2016/2016-07/references.html