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No cálculo de requerimento de margem usada pela metodologia de cálculo de risco CORE, considerando variações de exposição a dólar no portfólio.
FPRs Optimization – U.S. Dollar
FPRs Optimization – U.S. Dollar
The main goal of the U.S. Dollar PRF Optimization project is to increase calculation accuracy of the margin required for instruments with U.S. Dollar exposure according to the methodology for calculating the CORE (Close-Out Risk Evaluation) margin requirement used by B3 Clearinghouse.
The project will help improve the calculation of Primitive Risk Factors (PRFs) when closing out positions in instruments that have the U.S. Dollar as the main risk factor.
The strategy used in risk calculation will consider the portfolio’s variations in U.S.
Dollar exposure during close-out, while preserving and providing hedging when necessary.
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Product benefits
Enhancing risk calculation of positions in U.S. Dollar exposure instruments
The goal is to increase accuracy of the margin requirement when closing positions.
The change in the close-out strategy used in the current CORE (Close-Out Risk Evaluation) risk calculation methodology will make position close-out in instruments with U.S. Dollar exposure more realistic.
Today, in some cases, the closing strategy may increase the portfolio's U.S. Dollar exposure within the close-out horizon of this model and, therefore, increase its margin requirement.
PRF is a set of variables such as prices, rates and volatility that affect the price behavior of an instrument according to the mapping of instrument groups used in the CORE risk calculation methodology.
CORE is the methodology used to calculate the margin at B3 Clearinghouse. It was created to calculate the risk of closing portfolios containing positions and guarantees from multiple markets and asset classes.
Timeline
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08/29/2022
Go-live
Available to the market
Technical details
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N/A
Main systems
RTC
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N/A
Certification roadmap
N/A
What is the Sinacor version?
N/A
