Comment by: Anonymous. Posted 10 years ago [2014-02-14 01:23:39]

While I have not kept up with this topic, I'd say the jury is still out. The Duffie paper does not seem to raise "portfolio margining" as an open question. I had thought some (all?) CCPs were not yet implementing portfolio margining for CDS. I'm also surprised to see dealer-to-dealer initial margin. How does it make sense for both sides to post IM to each other? Does a third-party hold the funds? Sounds crazy to me. Quant people should have enough pride to say "I'm not going to build models and write papers to help justify dumb ideas."