The move from SPAN to VaR

SPAN is a well respected methodology with broad industry and regulatory support that has been the market standard since the 1980’s. But with CME moving away from SPAN by 2022, most CCPs will likely seize the same opportunity to move away from the limitations of SPAN and introduce their own VaR models.

New VaR models are complex, and the choices of each CCP will create significant differences. For every firm that uses derivatives, margin will become harder to explain, predict and allocate.

So which firms are set to win – and which to lose? In our latest ebook, we discuss:

The Methodologies

The various modelling choices made by CCPs will create significant differences. We quantify the impact of different modelling choices.

The Impact

For every firm that uses derivatives, there will be added complexity. We explore how Trading, Treasury and Operations will be impacted.

The Solution

New techniques will be required to manage margin – firms calculating their margin independently have the advantage. We explain why.

An Update On The Move From SPAN to VaR Based Algorithms
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