Please note that the Risk Management section on our website will be updated in the coming weeks.
Going forward the Methodologies and Parameter pages include the VAR-based risk model content, currently covered on a dedicated page. We will also copy the Risk Management related project documentation, currently captured on Connect, to the operational information on these two pages.
The current VAR-based risk model page will remain till 22 March after which we will disable the page.
The new content will only be available in English.
We strongly advise that you explore the updated Euronext.com Methodologies and Parameter pages to get familiar with the new naming an position of the files.
Pages concerned:
Queries
Please find free to contact our Risk Management at the following email address (Euronext Clearing - Risk Management Group CCP-rm.group@euronext.com ) for any queries.
VAR-based risk model
One of the main goals of Euronext Clearing is to maintain its Risk Framework aligned to market’s best practices, providing the financial system with increasingly efficient and reliable solutions in terms of how risks are captured and allocated within the system.
In this context, Euronext Clearing decided to opt for the development of new VaR-based margin methodology to replace the currently applied SPAN methodology, that proved to be sound and robust over time, both in ordinary and stressed circumstances; however, the increasing complexity in financial markets do require the application of new standards.
New VaR-based methodology will be applied for the margin computation of both the Fixed Income and the Equity & Equity Derivatives Sections.
Please be advised that the names of the listed files have been updated in order to comply with the new logic that becomes effective after completion of the Euronext markets integration.