A crucial aspect of derivatives clearing, risk management is one of the cornerstones of our business. Every operational center has a risk department that carefully monitors our clients’ exposures (net.liquidity./haircut, credit utilisation, positions size).
The three main risk categories are market risk, operational risk and credit risk. Our in-house built Correlation Haircut model has been developed to provide coverage of all asset classes. It takes into account correlations between different equities-/-indices, bonds and derivative products across asset classes when calculating the haircut, offering you substantial added value by offsetting correlated products on various exchanges. The system has proven its worth due to the high correlation of contracts traded on different exchanges, and it leads to significant savings in terms of capital requirements.