English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

Central clearing counterparty houses (CCPs) play a fundamental role inmitigating the counterparty risk for exchange traded options. CCPs cover forpossible losses during the liquidation of a defaulting member's portfolio bycollecting initial margins from their members. In this article we analyze thecurrent state of the art in the industry for computing initial margins foroptions, whose core component is generally based on a VaR or Expected Shortfallrisk measure. We derive an approximation formula for the VaR at short horizonsin a model-free setting. This innovating formula has promising features andbehaves in a much more satisfactory way than the classical Filtered HistoricalSimulation-based VaR in our numerical experiments. In addition, we consider theneural-SDE model for normalized call prices proposed by [Cohen et al.,arXiv:2202.07148, 2022] and obtain a quasi-explicit formula for the VaR and aclosed formula for the short term VaR in this model, due to its conditionalaffine structure.

A closed form model-free approximation for the Initial Margin of option portfolios