Cross the historical background
After the American financial market reflected on the stock market crash of 1987, CME designed and launched the SPAN on198865438+February 16 according to the suggestion of strengthening risk control put forward by the presidential advisory group. After 16 years of testing and improvement, SPAN system has been widely recognized by the market and adopted by nearly 50 exchanges, clearing houses and other financial institutions, and has become an international standard for calculating portfolio margin and risk assessment. Its core advantage is efficient capital risk management ability.
The emergence and rapid popularization of SPAN system is related to the rapid development of the world futures market (especially options) since 1980s. Derivatives market includes not only futures with linear risks, but also options with nonlinear risks, and the risks between positions are closely related. Institutions participating in the derivatives market should not only assess the gains and losses of positions at any time, but also understand the risk characteristics of portfolios and the potential risks during the holding period. Therefore, it is very urgent to establish a risk control system that comprehensively measures market risks. Having the total risk value can not only help investors, banks and brokers to control their own position risks, but also enable regulators such as the central bank and the China Securities Regulatory Commission to effectively control the risks of financial institutions. The regulatory authorities require all market players to maintain appropriate funds to cope with possible market risks, thus stabilizing the financial market and increasing investor confidence.
Leap over the basic idea
ValueatRisk (VaR) is a widely used risk measurement index at present, which is the biggest loss that a portfolio may suffer due to market price changes under a specific holding period and a specific confidence level. Because the portfolio of financial institutions or investors may contain options or other derivatives other than stocks, based on the consideration of accuracy and efficiency, scenario simulation method has gradually become the best choice to measure the value at risk.
SPAN is one of the tools developed based on scenario simulation method, which is used to measure the risk of clearing member positions. SPAN applications include stocks, bonds, OTC derivatives, spot contracts, futures contracts and options. The core of SPAN is the calculation of option margin.
Span analysis method
Analyze all financial products in the same way. When calculating the margin, different commodities in the portfolio will be classified first, and commodities with the same or similar subject matter will be regarded as a portfolio commodity, such as options and futures, which can be analyzed together. In addition, for the convenience of calculation, SPAN further divides the commodity combination into different CombinedCommodityGroup.
SPAN Using the margin table set by the exchange or clearing house, the portfolio is analyzed in the following two steps: 1, SPAN First, the commodities in the portfolio are divided into different portfolio commodities, and the risk value of each portfolio is calculated; 2. After calculating the risk value of each commodity combination, analyze whether there are risks between each commodity combination that can offset each other.