Risk, Margin and More
“How did you go bankrupt?” Bill asked.
“Two ways,” Mike said. “Gradually and then suddenly.”
Real Time
Margin
Initial margin, Maintenance margin & Option Premium.
70+ exchanges, SIMM.
70+ exchanges, SIMM.
Margin Optimization
30-50% margin reduction by running 1000's of simulations
VaR & Expected Shortfall
Parametric VaR, non parametric VaR and Expected Shortfall for tail risk
Stress
Testing
Scenario Analysis and hypothetical testing
