Modelo de risco

Collateral margin is defined by the risk for the closeout of a portfolio faced by the clearinghouse.

• Risk Measure

  In order to calculate the risk for the closeout of a portfolio consisting of positions and collateral from several markets and asset classes, B3 developed an innovative risk measure: Close-Out Risk Evaluation (CORE).

  Key CORE benefits:

  • It calculates the worst accumulated cash flow during the portfolio closeout process
  • It calculates the joint risk for positions and collateral
  • It models three types of risk: market, liquidity for positions and collateral, and cash flow
  • Accurate closeout strategy: position closeout transactions and collateral execution
  • Severe loss (stress test): confidence level of 99.96% or 10Y crisis
  • It considers 10,000 scenarios: historical (since 2002), quantitative and prospective
  • Multi-horizon: daily closeout operations (1 to 10 days)
  • It apllies full valuation
• Risk Faced by the Clearinghouse

  Originally, the risk faced by the clearinghouse is the credit risk of its participants.
  After a default, the CCP has to close-out the defaulting customer’s portfolio.
  During the closeout processes, the clearinghouse faces a risk of severe losses generated by:

  • Market risk (price fluctuation of positions and collaterals)
  • Liquidity risk (price fluctuation caused by the liquidation of the position against the normal trading flow)
  • Cash flow risk (non-availability of liquid funds to meet financial obligations)
• Margining Cycle

  Cycle consists of four moments:

  1. Collateral balance calculation;
  2. Collateral posting;
  3. Default window: period in wich the default may occur;
  4. Closeout period

  

  • To model closeout is necessary assume that margin calculation and collateral posting were performed
  • Daily cycle: default occurs after collateral posting on T+1 and until settlement window on T+2
  • Closeout strategy: set of operations to closeout positions and execute collateral
  • Closeout period: from the last moment of the default window until the end on T+10
• CORE Components
  1. Liquidity risk:
     • Close-out operations depend on the liquidity of positions and collateral
     • Individual daily liquidity parameters guarantee orderly liquidation processes
     • Liquidity parameters: estimated on market microstructure data (order-book)
  2. Mapping cash flows into close-out risk horizons:
     • All cash flows generated during the close-out period are mapped in time
     • These cash flows depend on the features of positions and collateral:
       - Trading model: listed vs. OTC
       - Settlement cycle: T+0, T+1, T+2, T+3, … , T+N
  3. Market risk:
     • A scenario for a certain risk factor: 10 simulated shocks (1, 2, … 10 days)
     • A scenario for n risk factors: a matrix with n lines and 10 columns
     • The scenario generation process will be explained in a moment

  CORE is a risk measure calculated through three steps

  

• Example 1

  Toy Problems

  Base Case:

  • Position: short on 135 contracts on a hypothetical future
  • Future contract cash flow: daily variation margin settlement in the next morning
  • Collateral: cash
  • Liquidity risk parameter: up 200 / day for an orderly liquidation process
  • Market risk: suppose mapping into only one risk factor; 10,000 scenarios

  Close-out strategy (trades start on T+2):

  • Worst case: Buy 135 contracts at the end of T+2

  

  Calculation of the worst accumulated cash flow by each one of the 10.000 scenarios
  1 scenario, 1 line, 1 10-day price path: accumulated shock in each 10 risk horizons

  

  • Worst case for a short position on one risk factor: extreme positive shocks

  Risk horizon (days)	1	2	3	4	5	6	7	8	9	10
  Accumulated shock	8,4%	12,0%	15,4%	18,0%	20,0%	21,5%	22,6%	23,4%	24,0%	24,5%
  Daily shock	8,4%	3,3%	3,0%	2,3%	1,7%	1,3%	0,9%	0,7%	0,5%	0,4%

  

• Example 2

  Case 1 - liquidity risk parameter changes from 200/day to 100/day

  Longer and riskier close-out, higher margin