New parameter estimation routine
In order to comply with EMIR regulation concerning measures to counter pro-cyclicality in margin requirements, a 10-year floor has been applied to the risk parameters for stress in PC1, PC2 and PC3. This explains the increased levels of risk parameters across the majority of the curves used in CFM in the end of August parameter update.
Updated Margin Guide and Replication Guide
An updated version of the CFM Margin Guide and a separate guide to replicating CFM margin requirements using API/interface files are now available.
Please find the latest documentation attached or visit the risk management website on the following link:
http://www.nasdaqomx.com/europeanclearing/nordicclearingtoday/riskanddefaultmanagement/
For further information concerning this exchange notice please contact Jesper Bruzelius
jesper.bruzelius@nasdaqomx.com or telephone +46 8 405 70 02.
