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About HVaR

In order to secure credit risk exposures, KDPW_CCP requires participants to post margins. The KDPW_CCP margin calculation model quantifies the price risk of all types of cleared instruments.

The margin requirement is equal to HVaR (historical value at risk) for a given account based on the relevant parameters:
  • holding period
  • confidence level
  • decay rate
  • number of historical events (time horizon)
  • method used to calculate rates for VaR scenarios.

Margins (and other risk measures, if any) are calculated in three steps:
  • generate scenarios from the market history;
  • price the portfolio using historical scenarios;
  • statistical analysis – calculate quantile values.

The method of calculating margins and the rules of valuation of derivatives and repo transactions (including discount and forward curves) are laid down in Appendix 6 to the Detailed Rules of the OTC Clearing System.