Please enable JavaScript.

Coggle requires JavaScript to display documents.

Margin (VaR (VaR margin calculation (VaR margin rate (Companies are…

- - - - Step 2: The diff of
        (A) portfolio MV recalculated
        under 1,250/2,500 shifted scenarios &
        (B) original Portfolio MV are calculated
        
        Step 3: The diff are ranked,
        and VaR margin requirement
        is determined by
        where the clearing house
        wants to cut off this
        distribution of losses
  - - - Companies are divided
        into 3 categories
    - - annualized s.d. of
        daily change in price
    - - measure of the
        spread of data
- - - - Scan Risk
        
        The largest of 16 diff between
        (1) portfolio MV is recalculated
        under 16 diff mkt shifts and
        (2) original portfolio MV,
        represent the most severe loss in mkt value,
        is used to set the SPAN margin requirement
      - revised 6 times in a day
      - a SPAN compatible
        margining algorithm
        
        use the clearing house RPF for
        calculation of
        Clearing House margins
  - - - Favourable marks offset
      - Margin Multiplier
      - Margin Credit
        
        HKD 5M
      - Margin Position
        
        The higher of
        total cross-day
        net (i) long or (ii) short
        CNS stock positions
        mkt value of a Participant
- - - - Client Risk Margin
        = CH Margin x 1.33
  - - - Benchmark Rate
        Determination
        
        Method = EWMA
        
        Volatility
        = HSI daily close chg for 90-day
        
        C.I. = 3 s.d. of Volatility Function
      - Buffer Rate = 10%