In Iran war, VAR models ease cliff effect on Ice and CME margins
At 105%, EEX – using Span model – saw largest single-day jump compared with those CCPs
Amid the global energy fallout from the Iran conflict, a small glimmer of light has emerged – a reduction in the big ‘step changes’ in margin revisions seen after the onset of the war in Ukraine.
Data from margin optimisation firm OpenGamma, a Trading Technologies company, shows that for CME and Intercontinental Exchange (Ice), the transition from standard portfolio analysis (Span) to value-at-risk models has meaningfully reduced the size of sudden margin revisions.
OpenGamma compared IM
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