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What is Standard Portfolio Analysis of Risk mean?
The Standard Portfolio Analysis of Risk, or SPAN, is a system for calculating margin requirements for futures and options on futures. It was developed by the Chicago Mercantile Exchange in 1988.
SPAN is a portfolio margining method that uses grid simulation. It calculates the likely loss in a set of derivative positions (also called a portfolio) and sets this value as the initial margin payable by the firm holding the portfolio. In this manner, SPAN provides for offsets between correlated positions and enhances margining efficiency.
referencePosted on 23 Oct 2024, this text provides information on Miscellaneous in Stock Exchange related to Stock Exchange. Please note that while accuracy is prioritized, the data presented might not be entirely correct or up-to-date. This information is offered for general knowledge and informational purposes only, and should not be considered as a substitute for professional advice.
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