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Eurex Release 13.1

Enhancing the Risk-Based Margining Calculation procedure: Eurex Release 13.1

Since the Release the risk of changes in implied volatility is considered by calculating two-dimensional scenarios, i.e. simultaneously shifting the underlying price and the implied volatility. With the enhancement the accuracy of the additional margin calculation for options has been significantly increased. Due to the integration of changes for implied volatility for Risk-Based Margining in the existing reporting structure the calculation procedure became more transparent.