In order to secure its exposure to credit risk, KDPW_CCP requires participants to post margins. The margining model used by KDPW_CCP ensures the quantification of risks arising from changes in the valuation of all types of cleared instruments.
KDPW_CCP Expected Shortfall parameters
| Parameter | Value |
|---|---|
| ES (ST) component weight | 25% |
| Confidence level | 99,7% |
| Liquidation period | 5 days |
| ES (FHS) Observation window | 10 years |
| ES (ST) Observation window | from January 2, 2008 |
| Scaling method for FHS | K-factor, K=1 |
| Decay parameter | 99% |
| Volatility floor | none |
| Seed factor | 250 days |
| Perturbation method | - interest rates - additive method with scaling of the liquidation period - FX rates - multiplicative method with scaling of the liquidation period |
| Absolute value | no |
| Compensation | yes, for a given product. The products are as follows: - PLN interest rate derivatives - EUR interest rate derivatives |
The method of calculating margins and the rules of valuation of derivatives are laid down in:
