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.