Before revision: Central counterparties (CCPs) require initial margin (IM) to be posted for derivative portfolios cleared through them. Additionally, the Basel Committee on Banking Supervision has proposed in BCBS-261 that all significant OTC derivatives trading must also post IM by 2019. IM is typically calculated using Value-at-Risk (VAR)or Conditional Value-at-Risk (CVAR, aka Expected Shortfall) , based on historical simulation.
After revision: Initial margin requirements are becoming an increasingly common feature of derivative markets. However, while the valuation of derivatives under collateralisation (Piterbarg 2010 , based on historical simulation.