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VAR-based risk model

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:

Methodologies 

parameters 

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.

FIRE - Fixed Income Risk Engine

Instruments in scope of this methodology include Italian, Spanish, Portuguese, and Irish government bonds cleared in bond and ICSD bond Clearing Sections. The SPAN-like margining methodology will continue to apply to all remaining bonds (i.e. corporate bonds and government bonds issued by countries other than those mentioned).

On this page you can download the documents related to the technical aspects of FIRE.

FIRE Methodological Notes

  • PDF

Euronext Clearing - FIRE | Model Parameters

English Version

English 18/11/2022 /sites/default/files/2022-11/module%20A0%20-%20model%20parameters.pdf Euronext Clearing - FIRE | Model Parameters
  • PDF

Euronext Clearing - FIRE | MtM Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A1%20-%20mark-to-market%20margins.pdf Euronext Clearing - FIRE | MtM Margin
  • PDF

Euronext Clearing - FIRE | Initial Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A2%20-%20initial%20margins.pdf Euronext Clearing - FIRE | Initial Margin
  • PDF

Euronext Clearing - FIRE | Decorrelation Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A3%20-%20decorrelation%20risk%20add-on.pdf Euronext Clearing - FIRE | Decorrelation Margin
  • PDF

Euronext Clearing - FIRE | Idiosyncratic Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A4%20-%20idiosyncratic-concentration%20risk%20add-on.pdf Euronext Clearing - FIRE | Idiosyncratic Margin
  • PDF

Euronext Clearing - FIRE | Repo-Term Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A5%20-%20repo-concentration%20risk%20add-on.pdf Euronext Clearing - FIRE | Repo-Term Margin
  • PDF

Euronext Clearing - FIRE | Liquidity Margin

English Version

English 03/07/2023 /sites/default/files/2023-07/FIRE-%20Liquidity%20addon.pdf Euronext Clearing - FIRE | Liquidity Margin
  • PDF

Euronext Clearing - FIRE | Settlement Margin

English Version

English 22/09/2021 /sites/default/files/2021-09/module%20A6%20-%20settlement%20risk%20add-on.pdf Euronext Clearing - FIRE | Settlement Margin
  • PDF

Euronext Clearing - FIRE | Total Margins

English Version

English 22/09/2021 /sites/default/files/2023-07/A7.%20Final%20margins.pdf Euronext Clearing - FIRE | Total Margins
  • PDF

Euronext Clearing - FIRE | Data Flows

English Version

English 22/09/2021 /sites/default/files/2023-07/FIRE_data_flows_v3_2.pdf Euronext Clearing - FIRE | Data Flows

VAR Equity and Equity Derivatives

Euronext Clearing has developed a new VaR-based margin methodology for the Equity and Equity Derivatives Sections, replacing the SPAN margin methodology.

The adopted risk measure is the historical simulation Expected Shortfall (ES).

On this page you can download the documents pertaining to the technical aspects of the new Risk Framework.

Initial Margins

  • PDF

Euronext Clearing - EQDER | Mark-to-market & Variation margins

English Version

English 06/04/2023 /sites/default/files/2024-02/module_a1_-_mark-to-market_variation_margins.pdf Euronext Clearing - EQDER | Mark-to-market & Variation margins
  • PDF

Euronext Clearing - EQDER | Initial margins

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A2%20-%20initial%20margins.pdf Euronext Clearing - EQDER | Initial margins
  • PDF

Euronext Clearing - EQDER | Decorrelation Margin

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A3%20-%20decorrelation%20risk%20add-on.pdf Euronext Clearing - EQDER | Decorrelation Margin
  • PDF

Euronext Clearing - EQDER | Total Margin

English Version

English 06/04/2023 /sites/default/files/2023-04/Module%20A4%20-%20total%20margins.pdf Euronext Clearing - EQDER | Total Margin

Default Fund

  • PDF

Euronext Clearing - EQDER (COMDER) | Default fund

English Version

English 07/11/2023 /sites/default/files/2023-11/ncas_-_module_a9_-_default_fund_eqder_0.pdf Euronext Clearing - EQDER (COMDER) | Default fund

Data Flows

  • PDF

Euronext Clearing - EQDER | Borsa Italiana Data Flows

English Version

English 30/05/2023 /sites/default/files/2023-05/VaR%20Data%20Flows%20for%20Italian%20markets.pdf Euronext Clearing - EQDER | Borsa Italiana Data Flows
  • PDF

Euronext Clearing - EQDER | Borsa Italiana Margin Replica File Set

English Version

English 26/05/2023 /sites/default/files/2023-05/EQDER%20-%20Margin%20Replica%20File%20Set.pdf Euronext Clearing - EQDER | Borsa Italiana Margin Replica File Set
  • ZIP

Euronext Clearing - EQDER | Borsa Italiana Sample Model Parameters File

English Version

English 30/05/2023 /sites/default/files/2023-05/parameters.zip Euronext Clearing - EQDER | Borsa Italiana Sample Model Parameters File
  • CSV

Euronext Clearing - EQDER | Borsa Italiana Sample Instrument Scenario Price File

English Version

English 26/05/2023 /sites/default/files/2023-05/scen_sample_restr.csv Euronext Clearing - EQDER | Borsa Italiana Sample Instrument Scenario Price File
  • CSV

Euronext Clearing - EQDER | Borsa Italiana Sample FX Scenario Value File

English Version

English 26/05/2023 /sites/default/files/2023-05/forex_new_restr.csv Euronext Clearing - EQDER | Borsa Italiana Sample FX Scenario Value File

VAR Commodities

Euronext Clearing has developed a new VaR-based margin methodology for the Commodities Section (MATIF and Fish Pool).

The adopted risk measure is the historical simulation Expected Shortfall (ES).

On this page you can download the documents pertaining to the technical aspects of the new Risk Framework.

Model Parameters

  • PDF

Euronext Clearing - COMDER | Model Parameters

English Version

English 01/12/2023 /sites/default/files/2023-12/NCAs%20-%20module%20COMDER0B%20-%20Model%20Parameters.pdf Euronext Clearing - COMDER | Model Parameters

Initial Margins

  • PDF

Euronext Clearing - COMDER - Initial margins

English Version

English 07/02/2024 /sites/default/files/2024-02/ncas_-_module_comder2_-_initial_margins_1.pdf Euronext Clearing - COMDER - Initial margins
  • PDF

Euronext Clearing - COMDER | Decorrelation Margin

English Version

English 01/12/2023 /sites/default/files/2023-12/NCAs%20-%20module%20COMDER3%20-%20Decorrelation.pdf Euronext Clearing - COMDER | Decorrelation Margin
  • PDF

Euronext Clearing - COMDER | Total Margin

English Version

English 07/02/2024 /sites/default/files/2024-02/ncas_-_module_comder7_-_total_margins_1.pdf Euronext Clearing - COMDER | Total Margin

Collateral

ENXC Collateral Management Framework

  • PDF

Euronext Clearing - Collateral Management Framework

English Version

English 06/04/2023 /sites/default/files/2023-12/ENXC%20Collateral%20Framework.pdf Euronext Clearing - Collateral Management Framework