Eurex Clearing
1. Introduction
As part of a regular review, Eurex Clearing recalibrated the event risk parameters used in its Prisma model for margining of Exchange Traded Derivatives.
Event risk is adjusted for Single Stock Dividend Futures as part of the Liquidation Group PEQ01.
The modified parameters are included in this circular and will be incorporated in the transparency enabler files on the effective date.
Effective date: 17 April 2023
2. Required action
No specific actions are required.
3. Details of the initiative
Event Risk is part of Eurex Clearing’s Prisma methodology. In addition to Filtered and Stress Period historical scenarios, Event Risk scenarios are part of Prisma's market risk component, and they apply to Single Stock Dividend Futures only. Event Risk aims to cover idiosyncratic scenarios which are improbable and thus exceed target confidence for the initial margin model, but which have a potential to generate large losses when they occur.
Event Risk is parametrized by log-returns of the individual scenarios. There is one “Down” and one “Up” scenario for each Single Stock Dividend product. These shifts were recalibrated as displayed below.
Scenario “Down” | Scenario “Up” | ||||
Old Scenario Values | - 55.5% | 50.4% | |||
| New Scenario Values | - 44.2% | 38.7% |
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice | |
Contact: | Risk Exposure Management, tel. +49-69-211-1 24 52, fax +49-69-211-1 84 40, e-mail risk@eurex.com | |
Web: | www.eurex.com/ec-en/ | |
Authorized by: | Dmitrij Senko |
