Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Special Topic – Margin | 2021/22 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
2021/22 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2021-2022/special-topics-margin.html
Special Topic on CCP Margin Arrangements | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Value at risk (VaR) models calculate the expected loss on a portfolio by considering the (actual or simulated) distribution of changes in the entire portfolio's value over an assumed ... ASX's VaR-based models for cash market products and OTC derivatives
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/special-topic-on-ccp-margin-arrangements.html
Special Topic – CCP Resilience Guidance | Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
Margin calculations in ASX's Value-at-Risk (VaR)-based models implicitly recognise offsets based on historically observed price correlations between products. ... This includes offsets between interest rate futures and OTC derivatives positions where the
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/special-topic-ccp-resilience-guidance.html
A1.2 ASX Clear (Futures) | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market…
9 Mar 2023
Key models at ASX Clear (Futures) include SPAN margining for exchange-traded derivatives, the OTC IRS Historic VaR model for OTC derivatives, the pricing system for derivatives and the capital ... ASX uses the risk score to determine the frequency of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/appendix-a1-2.html
Standard 6: Margin | Appendix B1.2 ASX Clear (Futures) | 2012/13 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
The Bank will also monitor annual validation and ongoing review of margin and stress-testing models under the ASX Model Validation Standard, and the implementation and further enhancement of the new ... ASX Clear (Futures) margins OTC derivatives
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/asx-clear-futures/standard-06.html
List of tables | Assessment of ASX Clearing and Settlement (CS) Facilities against the Principles for Financial Market Infrastructures…
9 Mar 2023
In order to eliminate principal risk, ASX Clear employs the DvP model 3 settlement mechanism in ASX Settlement. ... For transactions involving securities transfers, ASX Clear (Futures) employs the DvP model 1 settlement mechanism in Austraclear.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/principles/assessment-against-principles/asx/2014/tables.html
Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
VaR Models. ASX's VaR-based models for cash market products and OTC derivatives calculate margin based on the historical distribution of the portfolio's value over the sample period. ... 6). In the case of the NZD IRD contracts, ASX uses the existing VaR
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2017-2018/asx-central-counterparties/standard-06.html
Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
VaR Models. ASX's VaR-based models for cash market products and OTC derivatives calculate margin based on the historical distribution of the portfolio's value over the sample period. ... 6). In the case of the NZD OTC IRD contracts, ASX uses the existing
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2018-2019/c1-financial-stability-standards-for-central-counterparties/standard-06.html
Standard 6: Margin | Appendix C1. Financial Stability Standards for Central Counterparties | Assessment of ASX Clearing and Settlement…
9 Mar 2023
VaR Models. ASX's VaR-based models for cash market products and OTC derivatives calculate margin based on the historical distribution of the portfolio's value over the sample period. ... ASX made changes to its model validation framework during the
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2016-2017/asx-central-counterparties/standard-06.html
Standard 6: Margin | Assessment of Chicago Mercantile Exchange Inc. against the Financial Stability Standards for Central…
9 Mar 2023
CME will introduce a stressed-VaR component to its margin model to further reduce the potential for procyclicality; pending regulatory approval, CME expects to implement this in the second half of ... CME performs sensitivity analysis for margin models
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/chicago-mercantile-exchange/2014/standard-6.html