SPAN vs VaR – The pros and cons of moving now

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If you trade futures and options you are probably aware of SPAN. It is the most widely used margin algorithm for ETD products, but it is reaching end of life. Because of this, CCPs and Exchanges are moving away from SPAN to VaR-based methodologies for margin calculation, for example: Eurex have already made the move with Prisma; launched in May […]

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