“Despite parameters being published and overviews of the algorithms being available, it can still be difficult to forecast margin changes and predict funding requirements.” – Jo Burnham, Risk and Margin SME at OpenGamma
For Commodity Trading Firms, spikes in margin requirements can be difficult to predict. There are many causes, some of which are common to all exchange traded derivatives, but others are specific to the commodity markets because of the structure of the products traded, for example cascading gas and power, crack spreads and BALMO.
In our latest eBook, learn more about:
- How changing margin rates can impact margin requirements
- What might be negatively impacting your margin in surprising ways
- The impact of CME’s move from SPAN to VaR