2020. 2. 28. 12:40ㆍ카테고리 없음
The CME SPAN methodology evaluates overall portfolio risk by calculating the worst possible loss that a portfolio of derivative and physical instruments might reasonably incur over a specified time period (typically one trading day). This is done by computing the gains and losses the portfolio would incur under different market conditions.At the core of the methodology is the CME SPAN risk array, a set of numeric values that indicate how a particular contract will gain or lose value under various conditions.
Each condition is called a risk scenario. The numeric value for each risk scenario represents the gain or loss that particular contract will experience for a particular combination of price (or underlying price) change, volatility change, and decrease in time to expiration. The CME SPAN methodology divides the instruments in each portfolio into groupings called combined commodities. Each combined commodity represents all instruments on the same ultimate underlying – for example, all futures and all options ultimately related to the S&P 500 index.For each combined commodity in the portfolio, the CME SPAN methodology evaluates the risk factors described above, and then takes the sum of the scan risk, the intra-commodity spread charge, and the delivery risk, before subtracting the inter-commodity spread credit. The CME SPAN methodology next compares the resulting value with the short option minimum; whichever value is larger is called the CME SPAN methodology risk requirement. The resulting values across the portfolio are then converted to a common currency and summed to yield the total risk for the portfolio.
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CME SPAN Risk Manager integrates risk management features with core margin calculation abilities to deliver a flexible and intuitive system for full portfolio risk management. Our most powerful product, CME SPAN Risk Manager Clearing is an institutional-level program used by exchanges, clearing organizations, service bureaus, and regulatory agencies. It provides all capabilities of the CME PC-SPAN software and CME SPAN Risk Manager, and adds features enabling exchanges and clearing organizations to implement the CME SPAN methodology in a rapid and cost-effective manner.Advanced functions provide the ability to:. Define the CME SPAN methodology rates and rules. Calculate CME SPAN risk arrays. Prepare and publish CME SPAN risk parameter files.
Provide a real-time component interface, enabling true high-speed real-time pre- or post-execution risk-based credit controls. Complementary copies of the CME PC-SPAN software can be downloaded through CME Core by all users. To download a copy, log on to CME Core with your CME Group Login, or create a new one, and download the software.You can purchase single copies of CME SPAN Risk Manager through our software vendor SWREG. The software is downloaded electronically via CME Core once payment has been confirmed. SWREG accepts electronic payment via Mastercard, Visa, American Express, Discover, and PayPal and will accept orders via phone, fax, or check for a nominal fee. The base price for electronic delivery is $3,000 USD for CME SPAN Risk Manager.For bulk purchases or to purchase other versions of the CME SPAN software (CME SPAN Real Time Component Interface or CME SPAN Risk Manager Clearing) contact the CME CORE Support Team:+1 312 580 5353. The Standard Portfolio Analysis of Risk (SPAN®) system is a sophisticated methodology that calculates performance bond requirements by analyzing the 'what-ifs' of virtually any market scenario.Continually enhanced and elaborated, the CME SPAN methodology can be used to evaluate risk for the broadest possible range of derivative and physical instruments.
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Although originally designed for use with derivatives, its extraordinary capabilities have led to its extensive use in assessing risk for many different types of financial instruments.As the industry standard for portfolio risk assessment, the CME SPAN methodology is the official performance bond (margin) mechanism of more than 50 registered Exchanges, clearing organizations, service bureaus, and regulatory agencies throughout the world. The CME SPAN software is utilized by a wide range of end-users, including futures commission merchants (FCMs), investment banks, hedge funds, research organizations, risk managers, brokerage firms, and individual investors worldwide.