Risk Model

Eurex Clearing will offer a state-of-the-art risk management solution to ensure both the integrity of the clearing house as well as to provide capital efficiencies with the implementation of portfolio risk management. Our risk model is designed to be accurate, stable and robust.

Accuracy ensures Default Management procedure reflected in margins for each portfolio

• Forward looking components match the Default Management procedure time horizon
• Liquidity add-ons refelct concentrations and liquidy of portfolios

Risk model designed to be stable and robust

• Filtered historical simulations
• Model error add-ons for correlation breaks, quantile correction and compressions, such as PCA for implied volatilities

Initial margin is supported by a dynamic clearing fund covering extreme but plausible events