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When Wikipedia Gets It Wrong

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We all do it. You need to understand something and the first thing you do is google it and invariably one of the first hits you get is Wikipedia. The problem is that Wikipedia isn’t always correct. When it comes to Margin, it can lead to a lot of confusion.   Initial Margin If you google Initial Margin, this is […]

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When Wikipedia Gets It Wrong

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We all do it. You need to understand something and the first thing you do is google it and invariably one of the first hits you get is Wikipedia. The problem is that Wikipedia isn’t always correct. When it comes to Margin, it can lead to a lot of confusion.   Initial Margin If you google Initial Margin, this is […]

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Forget the headlines: What you really should know about the nasdaq default

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You’ve probably seen the headlines about the trader who blew ‘€100m hole in Nasdaq’s Nordic power market’. This was a timely reminder of the potential impact of market defaults, coming as it did 10 years after the failure of Lehman Brothers. Every clearing house member rightly worries about their contribution to the mutual default fund being used to cover losses […]

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The impact of moving from SPAN to VaR

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Read our previous post on the pros and cons of moving from SPAN to VaR here > Market participants are generally aware of the margin rates published on services such as Bloomberg. These are based on the SPAN scanning range – the expected future price move. Given the way that the SPAN methodology works, if you just trade futures for […]

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What a difference a day makes

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Matt Roberts-Sklar

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SPAN vs VaR – The pros and cons of moving now

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If you trade futures and options you are probably aware of SPAN. It is the most widely used margin algorithm for ETD products, but it is reaching end of life. Because of this, CCPs and Exchanges are moving away from SPAN to VaR-based methodologies for margin calculation, for example: Eurex have already made the move with Prisma; launched in May […]

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