CCP Margin Models | Comparing Historic VaR and SPAN
Following on from the “Beat the Experts” thread, John Philpott posed some excellent questions on the differences between the Value at Risk (VaR) and Standard Portfolio Analysis of Risk (SPAN) market-risk measurement methods. His questions are highly on-topic, especially given the central-clearing mandate set to go into effect for Tier 2 firms on 10 June, […]
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June 6, 2013


