Knowledge Base

Which principle governs the sizing of the default fund under EMIR?

'Cover 1'

'Cover 2'

'Cover 3'

'Cover All'

Which methodology uses scenarios combining price and volatility variations to calculate the initial margin?

VaR/Expected Shortfall

Filtered Historical Simulation (FHS)

SPAN (Standard Portfolio Analysis of Risk)

Eurex Prisma

What is the minimum frequency imposed by EMIR for variation margin calls?

Weekly

Monthly

Daily

Hourly

What is the minimum confidence interval required for calculating the initial margin for OTC derivatives under EMIR standards?

95%

99%

99.5%

99.7%

Variation Margin

Click to see answer

The historical observation period for calibrating initial margin models must cover at least 6 months.

True

False

Categorize items by dragging them to the appropriate zones

Items to categorize:

SPAN

Non-EU government bonds

Filtered Historical Simulation (FHS)

Equities from major indices (DAX, SMI, EURO STOXX 50)

Categories:

Initial margin calculation methodologies

Accepted types of collateral

Collateral haircuts are applied only to equities accepted as collateral.

True

False